ARMA(2,2) maximum likelihood estimation

조회 수: 3(최근 30일)
jean claude
jean claude 2019년 2월 11일
댓글: Bijal Patel 2020년 10월 18일
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 .
  댓글 수: 1
Bijal Patel
Bijal Patel 2020년 10월 18일
Me too, I have the same question.
Did you find a solution ?

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