BUILT-IN MATHEMATICA SYMBOL
EstimatedProcess
EstimatedProcess[data, proc, {{p, p0}, {q, q0}, ...}]
estimates the parameters p, q, ... with starting values 
, 
, ... .
- EstimatedProcess returns the symbolic process proc with parameter estimates inserted for any non-numeric values.
- The data can be given in the following forms:
-
| {s0,...} | a path with state  at time i |
| {{t0,s0},...} | a path with state  at time  |
| TemporalData[...] | one or several paths |
- The times
and states 
must belong to the time and state domain of the process proc.
- The process proc can be any parametric scalar- or vector-valued process.
- The following options can be given:
-
- The following basic settings can be used for ProcessEstimator:
-
| Automatic | automatically choose the parameter estimator |
| "MaximumLikelihood" | maximize the log likelihood directly |
- Special settings for ProcessEstimator are documented under the individual random process reference pages.
Estimate the parameter of a PoissonProcess:
| Out[2]= |  |
Compare simulations of the estimated process to the original data:
| Out[4]= |  |
Find parameters for an ARProcess:
| Out[2]= |  |
Compare correlation functions for data and the estimated process:
| Out[5]= |  |
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