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[Q] Differing Values of Loss Function in ARMAX Model
Posted:
Jun 20, 1996 11:10 AM


Dear Mathlab Newsgroup Members:
I have a question about the value of the loss function given by the command present(Thetamatrix) and the same loss function computed from actual data. I'm using the ARMAX function with nn=[2 1 3 0] i.e. the AR order is 2, the input order is 1, the noise model or MA part order =3 and the lag is 0.
According to a document faxed to me by the Mathworks, the loss function V is given by the formula V=e*e'/length(e). I interpet this to mean
V = (ActualEstimate)*(ActualEstimate)'/number of data points
When I run the ARMAX model specified above, the present(...) command gives me a loss function V=0.03215. If compute the loss function using the acutal data and the estimate from idsim, I get a loss function of V=10.9045
Can someone tell me what's happening?
Thank you
Steve Lutes Center for Balance Disorders Rm. NA315 Dept of Oto Baylor College of Medicine One Baylor Plaza Houston, TX 77030 Vox: 7137986336 Fax: 7137988658



