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how use ARMA coefficients

Started by atarmule August 14, 2009
Hi guys,
for the first time i'm looking information about arma models. it isn't my
aim learn how to built it but just  use the coefficients i already have.
the coefficients are obtained with a NLS algorithm
so, i've a time serie in a spreadsheet and coefficients for AR(2) and
MA(2).
what formula have i to use to fit the serie for  MA(2), AR(2), and
ARMA(2,2)? 
tnx!




On Aug 14, 12:30&#4294967295;pm, "atarmule" <ezio.belling...@gmail.com> wrote:
> Hi guys, > for the first time i'm looking information about arma models. it isn't my > aim learn how to built it but just &#4294967295;use the coefficients i already have. > the coefficients are obtained with a NLS algorithm > so, i've a time serie in a spreadsheet and coefficients for AR(2) and > MA(2). > what formula have i to use to fit the serie for &#4294967295;MA(2), AR(2), and > ARMA(2,2)? > tnx!
What do you want? Do you want a spectrum or filter - please specify.
>On Aug 14, 12:30=A0pm, "atarmule" <ezio.belling...@gmail.com> wrote: >> Hi guys, >> for the first time i'm looking information about arma models. it isn't
my
>> aim learn how to built it but just =A0use the coefficients i already
have=
>. >> the coefficients are obtained with a NLS algorithm >> so, i've a time serie in a spreadsheet and coefficients for AR(2) and >> MA(2). >> what formula have i to use to fit the serie for =A0MA(2), AR(2), and >> ARMA(2,2)? >> tnx! > >What do you want? Do you want a spectrum or filter - please specify. >
I need a filter, i've the ideale time serie, and the noised serie. A white noise is added to the ideal serie to obtain the noised. then i've to study the difference between the ideal serie, the noised and the fitted series. it's just a theoretical project Thank you!
On Aug 15, 1:33&#4294967295;am, "atarmule" <ezio.belling...@gmail.com> wrote:
> >On Aug 14, 12:30=A0pm, "atarmule" <ezio.belling...@gmail.com> wrote: > >> Hi guys, > >> for the first time i'm looking information about arma models. it isn't > my > >> aim learn how to built it but just =A0use the coefficients i already > have= > >. > >> the coefficients are obtained with a NLS algorithm > >> so, i've a time serie in a spreadsheet and coefficients for AR(2) and > >> MA(2). > >> what formula have i to use to fit the serie for =A0MA(2), AR(2), and > >> ARMA(2,2)? > >> tnx! > > >What do you want? Do you want a spectrum or filter - please specify. > > I need a filter, i've the ideale time serie, and the noised serie. A white > noise is added to the ideal serie to obtain the noised. then i've to study > the difference between the ideal serie, the noised and the fitted series. > it's just a theoretical project > > Thank you!
Then form the transfer function from the ARMA parameters and pass the signal + noise through it. You can use the FILTER command in MATLAB if I remember right. eg suppose you have num=[1,2,3]; den=[1,-0.5] g=tf(num,den) where num,den are the polynomials of the ARMA process.