Summary
Estimate ARMA process AR and MA coefficients.
Unit
StatTimeSerAnalysis
Declaration
Function ARMAMLE(Data: TVec; P, T: TVec; PTLowB, PTUpB: TVec; Residuals: TVec; out MLE: TSample): Integer;
Description
Estimate ARMA AR and MA coefficients by using lower and upper limits for Phi and Theta values.
Declaration
Function ARMAMLE(Data: TVec; P, T: TVec; Residuals: TVec; out MLE: TSample): Integer;
| Parameter | Description |
|---|
| Data | Time series data set. |
| P | ARIMA Before call stores initial estimates for ARIMA Phi coefficients. After call returns MLE estimates for Phi coefficients. |
| T | ARIMA Before call stores initial estimates for ARIMA Theta coefficients. After call returns MLE estimates for Theta coefficients. |
| Residuals | Returns residuals between predicted (MLE) and actual time series values. |
| MLE | Returns -2 log likelihood of ARMA model. |
Result
Number of evaluations needed to converge to MLE solution.
Description
Estimate ARMA(p,t) process coefficients by using MLE.
Categories
ARMA and ARIMA routines| See Also |
|---|
| ARMAHannah |
| ARMAInnovations |
| Copyright 2008 Dew Research |
http://www.dewresearch.com