Summary
The Durbin-Levinson algorithm.
Declaration
Procedure DurbinLevinson(gamma: TVec; Phi: TVec; out Sigma2: TSample; NumEvals: Integer; PhiVar: TVec = nil);
| Parameter | Description |
|---|---|
| gamma | Defines covariances for Durbin-Levinson algorithm. |
| Phi | Returns phi[n,1]...phi[n,n] coefficients. |
| NumEvals | Defines number of iterations of the Durbin-Levinson algorithm. |
| Sigma2 | Returns estimated variance. |
| PhiVar | If not nil, it returns phi coefficients variances. |
Description
Uses the Durbin-Levinson algorithm to calculate phi[n,1]...phi[n,n] coefficients. Coefficients are calculated resursively from the following relations:
where phi(1,1) = gamma(1)/gamma(0) and v(0)=gamma(0).
Categories
ARMA and ARIMA routines| See Also |
|---|
| Innovations |
| Copyright 2008 Dew Research |