arma ar models
 

arma / ar models
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
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.
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
websearch:
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.
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