30 lines
591 B
Mathematica
30 lines
591 B
Mathematica
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pwd;
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% load data.
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load('../data/u.csv');
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load('../data/y.csv');
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% number of params of the ARX model we're estimating.
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p = 4;
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% create toeplitz matrices from the data.
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fu = toeplitz(u);
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fy = toeplitz(y);
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% construct a sub-matrix from the toeplitz matrices.
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F = [fy(p:end-1,1:p), fu(p:end-1,1:p)];
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yy = y(p+1:end);
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% get the parameters estimate, with F' being the transpose of F.
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theta = (F' * F) \ (F' * yy);
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% calculate the estimate error.
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err = yy - (F * theta);
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% save stuff.
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writematrix(theta, '../data/explicit_theta.csv');
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writematrix(err, '../data/explicit_error.csv');
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exit;
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