How estimate function derives initial estimates using standard time series techniques? what are these standard time series techniques?
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In the documents of the estimate functionl section Initial Value Specifications, it is written that the function estimates the initial values by nstandard time series techniques. CAN anyone explanes what are these techniques.
I appreciate any leads or brief explanations... anything.
William Rose il 9 Set 2022
It's complicated. The methods usd to generate initial estimates are described here:
Also see Box, Jenkins, & Reinsel, 3rd ed., 1994 (this is the dition cited by Mathworks); 4th ed., 2008; 5th ed., 2015.
This site summarizes the Box-Jenkins approach to initial estimation.