From: Oskar Vivero on
Hi All,

This is not directly matlab related, but I am wondering if there are any specific algorithms for generating an ARMA sequence out of a set of innovations. I know that the book Time Series Analysis from Brockwell and Davies presents a recursive algorithm but no name is provided (nor number of flops to obtain an ARMA sequence).

Hopefully some of you can enlighten me.

Thanks,
Oskar