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arxstruct command help me to selects best ARX system order with a dataset data of input and output: 

NN = struc(1:5,1:5,1);
and

nn = selstruc(V,0);
m = arx(z,nn);

matlab selects best model order for an ARX system, but I don't find a way to do it with other systems (ARMAX, OE, BJ). So I tried with for cycles like:

modARMAX = cell(5,5,5);
PE_armax = zeros(5,5,5);
nk = 0;
for na = 1:5
    for nb = 1:5
        for nc = 1:5
            modARMAX{na,nb,nc} = armax(data, [na,nb,nc,nk]);
               PE_armax(na,nb,nc)=fpe(modARMAX{na,nb,nc});        
         end
      end
  end

where PE_armax is a vector of prediction errors and I find those indices of modARMAX for PER_armax minimum. But with cycles above matlab is too slow if model has more coefficients (like BJ).

cyberdyne
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    AFAIK, there is no function for doing this. Maybe there is some user code, or paper on some approximated methods. The same happens, for example, for more complicated models...... – Brethlosze Sep 14 '14 at 01:07
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    Me neither.... Aw wait, i am talking to myself!!... LOL. It appears i am alone here..... – Brethlosze May 29 '15 at 04:17

0 Answers0