MATLAB Answers

0

ARMA(2,2) maximum likelihood estimation

Asked by jean claude on 11 Feb 2019
Latest activity Edited by jean claude on 11 Feb 2019
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 .
Thanks

  0 Comments

Sign in to comment.

0 Answers