Documentation of searchax

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Function Synopsis

[t1,e,el,V1,c,st]=searchax(z,t,g,lim,V,na,nb,nc,nk,ni,display)

Help text

SEARCHAX searches for lower values of the prediction error criterion.

   [T1,E,EL,V1,C,ST] = searchax(Z,T,G,LIM,V,NA,NB,NC,NK)

   The routine searches for a lower value of the prediction erro cri-
   terion for the armax model, starting at T, loking in the
   G-direction. T1 is returned as the parameters that give a lower value V1
   If no lower value is found, ST=1, C is the C-polynomial associated 
   with T1, and E, EL are the filtered data sequences.
   The routine is to be used as a subroutine to ARMAX. See
   ARMAX for an explanation of the other arguments.

Cross-Reference Information

Listing of function searchax

function [t1,e,el,V1,c,st]=searchax(z,t,g,lim,V,na,nb,nc,nk,ni,display)

%   L. Ljung 10-1-86,9-25-93
%   Copyright (c) 1986-98 by The MathWorks, Inc.
%   $Revision: 2.4 $  $Date: 1997/12/02 03:42:05 $

l=0;,k=1;V1=V+1; n=na+nb+nc; st=0;
[mmz,nnz]=size(z(:,1));
ll=ones(mmz,nnz)*lim;
while [V1 > V l<10],
t1=t+k*g; if l==9,t1=t;end
c=fstab([1 t1(na+nb+1:n).']); t1(na+nb+1:n)=c(2:nc+1).';

     a=[1 t1(1:na).']; 
     e=pefilt(a,c,z(:,1));
     if nb>0, 
        b=[zeros(1,nk) t1(na+1:na+nb).']; 
	e=e-pefilt(b,c,z(:,2),e(1:ni));
     end
     if lim==0,el=e;else la=abs(e)+eps*ll;el=e.*(min(la,ll)./la);end

     V1=real(e'*el/(length(e)-ni));

if display,
   %home, 
   disp(int2str(l)),
end
k=k/2;
l=l+1; if l==10,st=1;end
end