ARMA / AR MODELS

[aeroaero]

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

 

[PNachtwey]

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.

 

[aeroaero]

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

 

[IRstuff]

websearch:

http://www.dogpile.com/info.dogpl/s...-/-/-/-/-/-/-/-/-/-/-/-/-/-/-/-/-/-/-/417/top

TTFN

 

[PNachtwey]

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 = 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

 

[m777182]

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