ARMALogLike Routine

Summary

-2log likelihood.

Declaration

Function ARMALogLike(Data, Phi, Theta: TVec): TSample;

Parameter	Description
Phi	stores phi[1]..phi[q] coefficients. The order of AR(p) is defined by Phi vector length.
Theta	stores theta[1]..theta[q] coefficients. The order of AR(p) is defined by Phi vector length.
d	Number of differentiations to be applied to data set (d parameter in ARIMA model).

Result

-2log likelihood for ARIMA(p,q,d) process.

See Also
ARIMAMLE

Example 1

  Uses MtxExpr, StatTimeSerAnalysis, Math387;
  procedure Example;
  var phi,theta, ts: Vector
      l: TSample;
  begin
    ts.LoadFromFile('ts_data.vec');
    phi.SetIt(false,[0.33,-0.24]);
    theta.SetIt(false,[0.9]);
    // ARIMA(2,1,2) process -> evaluate -2log likelihood
    l := ARIMALogLike(ts,phi,theta,2);
  end;

  #include "MtxVecCpp.h"
  #include "Math387.hpp"
  #include "StatTimeSerAnalysis.hpp"
  void __fastcall Example();
  {
    Vector phi,theta,ts;
    phi->SetIt(false,OPENARRAY(TSample,(0.33,-0.24)));
    theta->SetIt(false,OPENARRAY(TSample,(0.9)));
    // ARIMA(2,1,2) process -> evaluate -2log likelihood
    double l = ARIMALogLike(ts,phi,theta,2);
  }

  using Dew.Math;
  using Dew.Stats;
  using Dew.Stats.Units;
  namespace Dew.Examples
  {
    private void Example()
    {
      Vector phi = new Vector(0);
      Vector theta = new Vector(0);
      Vector ts = new Vector(0);
      phi.SetIt(false, new double[] {0.33,-0.24});
      theta.SetIt(false,new double[] {0.9});
      // ARIMA(2,1,2) process -> evaluate -2log likelihood
      double l = StatTimeSerAnalysis.ARIMALogLike(ts,phi,theta,2);
    }
  }