IRIS Toolbox Reference Manual

arma

Apply ARMA model to input series

Syntax

X = arma(E,Ar,Ma)
X = arma(E,Ar,Ma,Range)

Input arguments

Output arguments

Options

Description

The output series is constructed as follows:

$$ A(L) X_t = M(L) E_t $$

where $A(L)$ and $M(L)$ are polynomials in lag operator defined by the vectors Ar and Ma. In other words,

X(t) = ( -Ar(2)*X(t-1) - Ar(3)*X(t-2) - ...
       + Ma(1)*E(t) + Ma(2)*E(t-1) + ... ) / Ar(1);

Example

Construct an AR(1) process with autoregression coefficient 0.8, based on normally distributed innovations.

E = tseries(1:20,@randn);
X = arma(E,[1,-0.8],[]);