How to implement AR and ARMA model in data
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Hello everyone,
I would like to ask information about the implementation of AR and ARMA models in my data.
I have a table, let's call it A, that depicts the difference between two time series of data. Due to the noise that exists, I want to get an AR and ARMA model on this data, in order to examine its evolution. How could I do that ? Is there any specific function or toolbox I have to use ?
Thank you in advance.
Best regards,
Dimitris V. Psychas
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Brendan Hamm
2015-5-12
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Yes. This would be the function arima in the Econometrics Toolbox. We also have a course Time-Series Modeling in MATLAB, which covers ARIMA and GARCH models.
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