ARMA spectral density
ARMA power spectrum
This function fits an Auto-Regressive Moving Average (ARMA)
process of a given finite order to the given signal from which the spectrum is obtained analytically.
The spectrum of an ARMA process with model orders P and Q is
Parameters for ARMA spectral density are
- order P of the AR process,
- order Q of the MA process and
- frequency resolution freqres as number of points on the
The estimated ARMA model coefficients will appear in the message
ARMA spectral density provides a high frequency resolution and consumes little
computational power, but tends to be less robust than other methods of
frequency analysis and makes it more difficult to give an absolute
measure of spectral power.
y = ARMAspect(x,P,Q,freqres);
AR simulation, ARIMA modeling,
ARIMAX modeling, ARMA model order,
ARMA modeling, ARMA simulation,
ARMAX simulation, NAR modeling,
Ljung , Grenader/Rosenblatt
, Conover , Graybill
, Hollander/Wolfe .