GARCH Tool by Phil Goddard

User Interface for fitting and evaluating a generic GARCH model using the Econometrics Toolbox. (garch, ar, ma)

GARCHTool

2D AR and 2D ARMA parameters estimation by Simona Maggio

Algorithms for 2D AR and 2D ARMA parameters estimation. (arma, ar, parameters)

ar2d(x,k1,k2)

arma2d(x,p1,p2,q1,q2,varargin)

inv_ar2d(x,Ab,p1,p2)

Exact Negative Log-likelihood of ARMA models via Kalman Filtering by Statovic

Computation of the exact negative log-likelihood of ARMA models using the Kalman Filter (loglikelihood, kalman filter, arma)

arma_ACV(a, c, v, n)

arma_ConvertToSS(A, C, v)

arma_KalmanLikelihood(A, C, v, y, eps);

ARMA PARAMETER ESTIMATION by Miguel Angel Lagunas

Estimating the parameter of AR-MA sequences is fundamental. Here we present another method for ARMA (arma, durbin, cepstrum)

[sigma,outn,outd]=arma_last(xinf,np,nq);

ARMA PARAMETER ESTIMATION by Miguel Angel Lagunas Hernandez

Estimating the parameters of AR-MA sequences is fundamental. Here we present another method for ARM (arma, cepstrum, estimation)

[sigma,outn,outd]=arma_last(xinf,np,nq);

ra=spa_corc(x,nq);

Automatic Spectral Analysis by Stijn de Waele

Automatic spectral analysis for irregular sampling/missing data, analysis of spectral subband. (arma, armasel, vector ar)

(X+X')/2; end % end lyap

90*ceil(max(phase)/90); try, axis(xx), end clear fiab fs...

ARMLfit(rcs,ng,xg,rc0,lag_max)

Pole-Zero plot by Zhihua He

Better looking Pole-Zero plot. (polezero, ar, dsp)

PZ_plot(Mode,a,b);