Summary
Innovations ARMA estimation.
Unit
StatTimeSerAnalysis
Declaration
Procedure ARMAInnovationsFit(Data: TVec; Theta: TVec; out Sigma2: TSample; StdErrs: TVec = nil; MaxLags: Integer = -1);
Declaration
Procedure ARMAInnovationsFit(Data: TVec; Phi, Theta: TVec; out Sigma2: TSample; PhiSE: TVec = nil; ThetaSE: TVec = nil; MaxLags: Integer = -1);
| Parameter | Description |
|---|
| Data | Zero-mean time series. If this is not the case, subtract the mean from data. |
| Phi | Returns estimates for phi coefficients phi[1]..phi[p]. AR(p) order is determined by Phi length. |
| Theta | Returns estimates for theta coefficients theta[1]..theta[q]. MA(q) order is determined by Theta length. |
| PhiSE | If not nil, returns estimated phi coefficients standard errors. |
| ThetaSE | If not nil, returns estimated phi coefficients standard errors. |
| Sigma2 | Returns estimate for Sigma^2 i.e. MA model variance. |
| MaxLags | Defines maximum lag used in calculation of ACVF. If MaxLags is -1 then the following formula will be used to automatically set lag number:Ceil(10*Log10(Data.Length))
. |
Description
Uses innovations algorithm to predict ARMA(p,q) process coefficients.
Categories
ARMA and ARIMA routines| Copyright 2008 Dew Research |
http://www.dewresearch.com