MATLAB: How to model a time series in MATLAB using ARMA

armaSystem Identification Toolboxtime seriesurgent

I am working on a time series analysis and want a time series data to be modeled using ARMA. How should I proceed in MATLAB?

Best Answer

For modeling time series see time series modeling functions in System Identification Toolbox such as AR, ARX, ARMAX and NLARX.

Econometrics Toolbox (garchma, vgxvarx etc) and Signal Processing Toolbox (arburg, arcov etc) also offer functions for time series analysis and modeling.

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MATLAB: (G)ARCH estimation. Input series.

Hi Dmitry,

If we have obtained the residuals, then we can create a GARCH model and just estimate the variance equation, like

model = garch(1,1);

estimate(model, y);

Also, we can directly estimate an ARIMA model with GARCH errors, so that both the mean equation and the variable equation are estimated simultaneously. For example,

Mdl = arima(1,0,1);

Mdl.Variance = garch(1,1);

estimate(Mdl,y);

Regards,

Hang Qian

MATLAB: ARMA Spectral Estimation in MATLAB

Hi Bob, You can use armax to estimate the parameters of an ARMA model, by just specifying the 'na' and 'nc' inputs to the model.

For example:

m = armax(data,'na',3,'nc',4);

Best Answer

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MATLAB: (G)ARCH estimation. Input series.

MATLAB: ARMA Spectral Estimation in MATLAB

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