I have a question about the value of the loss function given by the command present(Theta-matrix) 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 = (Actual-Estimate)*(Actual-Estimate)'/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?
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