Does anyone know how to express a ARMA model into a State Space format

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Andrew Wileman
Andrew Wileman 2015-8-10
Hi, I'm hoping someone may be able to help me. I've used a RLS algorithm to determine the coefficients of a ARMA(2,1) model. I have then used the ARMA model to compare against the original data with which the RLS algorithm formed the coefficients from and they are a good match. What I would like to do, is simply put the ARMA model into a State Space form so I may use it with a Kalman Filter for State Prediction, is this feasible? Literature on the internet says I should just put it in a ARMA state space format and it should work - but alas it doesn't. I've attached the code I'm using to play around with the problem. Hoping someone may be able to help. Andy

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