×
INTELLIGENT WORK FORUMS
FOR ENGINEERING PROFESSIONALS

Log In

Come Join Us!

Are you an
Engineering professional?
Join Eng-Tips Forums!
  • Talk With Other Members
  • Be Notified Of Responses
    To Your Posts
  • Keyword Search
  • One-Click Access To Your
    Favorite Forums
  • Automated Signatures
    On Your Posts
  • Best Of All, It's Free!
  • Students Click Here

*Eng-Tips's functionality depends on members receiving e-mail. By joining you are opting in to receive e-mail.

Posting Guidelines

Promoting, selling, recruiting, coursework and thesis posting is forbidden.

Students Click Here

Jobs

ARMA / AR MODELS

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

RE: ARMA / AR MODELS

Have you tried Excel's LINEST function.  It is much more power than it looks at first.   LINEST can be used to calculate the coefficients of a difference equation.  This can then be coverted to the z domain and then to the s domain.

I use least squares system identification in Mathcad and C to do the same thing.

RE: ARMA / AR MODELS

(OP)
Hi,

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

You said you wanted to estimate the parameters.  I am assuming you want to estimate the coefficients of your ARMA filter.   The LINEST can calculate the coefficients a1,a2,a3..... and b1, b2, b3.... of

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.
http://www.plctalk.net/qanda/showthread.php?t=5040&highlight=LINEST


RE: ARMA / AR MODELS

There was  fine software by Peter J. Brockwell and Richard A. Davies "ITSM: An Interactive Time Series Modelling Package for the PC" (Springer Verlag 1991, ISBN 0-387-97482-2)that worked under DOS. A later version was issued under Windows but I do not have it.
m777182

Red Flag This Post

Please let us know here why this post is inappropriate. Reasons such as off-topic, duplicates, flames, illegal, vulgar, or students posting their homework.

Red Flag Submitted

Thank you for helping keep Eng-Tips Forums free from inappropriate posts.
The Eng-Tips staff will check this out and take appropriate action.

Reply To This Thread

Posting in the Eng-Tips forums is a member-only feature.

Click Here to join Eng-Tips and talk with other members!


Resources