ARMA / AR MODELS
ARMA / AR MODELS
(OP)
Hi all,
Does anyone know of any good softwares (apart from MATLAB/MATHEMATICA) which could be used to estimate parameters of an ARMA model from time-series data ?
Thanks in advance,
aero
Does anyone know of any good softwares (apart from MATLAB/MATHEMATICA) which could be used to estimate parameters of an ARMA model from time-series data ?
Thanks in advance,
aero





RE: ARMA / AR MODELS
I use least squares system identification in Mathcad and C to do the same thing.
RE: ARMA / AR MODELS
Thanks for your response. What I have is a time-response of a certain deflection analysis and the idea is to fit the data only to an ARMA model. LINEST, as I see, is not meant to do that. It may help me do some kind of regression, but, it cannot simulate ARMA.
I hope I am right at this.
Thanks anyways
Regards,
Aero
RE: ARMA / AR MODELS
ht
TTFN
RE: ARMA / AR MODELS
y(n) = a1*y(n-1)+a2*y(n-2).... + b1*x(n-1)+b2*x(n-2) ....
You can use Excel to do the simulation too.
I said you must look past the obvious and check out the examples.
h
RE: ARMA / AR MODELS
m777182