Exact Negative Log-likelihood of ARMA models via Kalman Filtering

Computation of the exact negative log-likelihood of ARMA models using the Kalman Filter

Description

Several functions for evaluating the exact negative log-likelihood of ARMA models in O(n) time using the Kalman Filter.

• MATLAB release: MATLAB 7.4 (R2007a)
• Other Files: arma_ACV.m, ; arma_ConvertToSS.m, ; arma_KalmanLikelihood.m, ; kalman_example.m

[Fraunhofer IIS Alawieh]

 

[Fraunhofer IIS Alawieh]

the program is well written, but i believe the state space representation is wrong.
 Though the implemented part is as mentioned in the refernce paper still , I argue about the 'R' in arma_ConvertToSS

Taking the MA parameters directly is not the proper representation.
instead R=[ c1-a1;c2- a2-( c1-a1);.....];

' SPECTRAL ESTIMATION FOR NOISY SIGNALS OBSERVED THROUGH A LINEAR SYSTEM' Check this paper