constained least squares for arma

Hi,

Anybody know the code for the constrained Least Squares method, with the linear condition that all ARMA paramers are positive?

Thanks.

Answer 1

[Shashank Prasanna]

Hi Malaka, what toolboxes do you have? Econometric Tbx? System Id Tbx?

System Id has some options that support this. If you don't have access to it, you will have to start programming it yourself. You can start by setting up an MLE problem and we may be able to help you once you have some basic code.

Also, you may find something in the file exchange that may do exactly this. Go through this link:

http://www.mathworks.com/matlabcentral/fileexchange/index?utf8=%E2%9C%93&term=arma