Accurate estimates of the autocorrelation or power spectrum can be obtained with a parametric model (AR, MA or ARMA). With automatic inference, not only the model parameters but also the model structure are determined from the data. It is assumed that the ARMASA toolbox is present. This toolbox can be downloaded from the MATLAB Central file exchange at www.mathworks.com The applications of this toolbox are:
- Reduced statistics ARMAsel: A compact yet accurate ARMA model is obtained based on a given power spectrum. Can be used for generation of colored noise with a prescribed spectrum.
- ARfil algorithm: The analysis of missing data/irregularly sampled signals
- Subband analysis: Accurate analysis of a part of the power spectrum
- Vector Autoregressive modeling: The automatic analysis of auto- and crosscorrelations and spectra
- Detection: Generally applicable test statistic to determine whether two signals have been generated by the same process or not. Based on the Kullback-Leibler index or Likelihood Ratio.
- Analysis of segments of data, possibly of unequal length.
Comments: during my thesis i need to fit arma or ar model and i have some problem with it. i havent find the time series toolbox of matlab and this file. how can i get it and how to work. the time is over and im missinng my time. please help me.
Comment only
05 Oct 2007
Amy Day-Lewis
I used this to analyze geophysical data with a large percentage of missing observations. It worked famously. Thank you so much for making it freely available.
18 Aug 2007
mina tehrani
during my thesis i need to fit arma or ar model and i have some problem with it. i havent find the time series toolbox of matlab and this file. how can i get it and how to work. the time is over and im missinng my time. please help me.
18 Aug 2007
mina tehrani
during my thesis i need to fit arma or ar model and i have some problem with it. i havent find the time series toolbox of matlab and this file. how can i get it and how to work. the time is over and im missinng my time. please help me.
Comment only
28 Mar 2007
Lianru Gao
30 Dec 2006
Vishnuvenkatesh Dhage
13 Sep 2006
sonny yanupraja
26 Jul 2006
Zen Zeng
excellent job!
03 May 2006
zhou huilin
20 Feb 2006
Trinh Quang Duc
10 Apr 2005
ZHONGCHAO HUANG
be great, and thanks Stijn de Waele for the free affer