Refine Initial ARMAX Model at Command Line

This example shows how to estimate an initial model and refine it using pem.

Load measured data.

load iddata8

Split the data into an initial estimation data set and a refinement data set.

init_data = z8(1:100);
refine_data = z8(101:end);

init_data is an iddata object containing the first 100 samples from z8 and refine_data is an iddata object representing the remaining data in z8.

Estimate an ARMAX model.

na = 4;
nb = [3 2 3];
nc = 2;
nk = [0 0 0];

sys = armax(init_data,[na nb nc nk]);

armax uses the default algorithm properties to estimate sys.

Refine the estimated model by specifying the estimation algorithm options. Specify stricter tolerance and increase the maximum iterations.

opt = armaxOptions;
opt.SearchOptions.Tolerance = 1e-5;
opt.SearchOptions.MaxIterations = 50;

refine_sys = pem(refine_data,sys,opt);

Compare the fit of the initial and refined models.

compare(refine_data,sys,refine_sys)

refine_sys provides a closer fit to the data than sys.

You can similarly use polyest or armax to refine the estimated model.