How to implement AR and ARMA model in data

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

Answer 1

[Brendan Hamm]

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.

[Dimitris Psychas]

Thank you very much for the information. I will check the Econometrics ToolBox, as it is installed within my MATLAB package.