ARMA(2,2) maximum likelihood estimation
Afficher commentaires plus anciens
How to estimate ARMA (2,2) like this one :
y = delta + phi*(1.5*y(t-1) - 0.5*y(t-2)) + ut - teta*(1.5*u(t-1) - 0.5*u(t-2))
i tried this :
Mdx = arima('AR',{1.5,-0.5},'MA',{-1.5,0.5});
EstMdx = estimate(Mdx,y);
y is my variable, first thing i have error. Second thing i don't know how to precise that matlab must estimate 1 phi and 1 teta because matlab estimates as parameters numbers if we have ARMA(2,2) he will estimate phi 1, phi 2, teta1, teta 2 .
Thanks
1 commentaire
Bijal Patel
le 18 Oct 2020
Me too, I have the same question.
Did you find a solution ?
Réponses (0)
Catégories
En savoir plus sur Conditional Mean Models dans Centre d'aide et File Exchange
Produits
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!