Summary
Hannah-Rissanen ARMA estimation.
Unit
StatTimeSerAnalysis
Declaration
Procedure ARMAHannahFit(Data: TVec; Phi, Theta: TVec; out Sigma2: TSample);
| Parameter | Description |
|---|
| Data | Time series. |
| Phi | Returns estimates for Phi coefficients. AR(p) order is determined by Phi length. |
| Theta | Returns estimates for Theta coefficients. MA(q) order is determined by Theta length. |
| Sigma2 | Returns estimate for Sigma^2 i.e. ARMA model variance. |
Description
Performs Hannah-Rissanen estimation for ARMA(p,q) model.
Categories
ARMA and ARIMA routinesTime series analysis routines| Copyright 2008 Dew Research |
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