Summary
The innovations algorithm.
Declaration
Procedure Innovations(kappa: TDenseMtxVec; Theta: TVec; out Sigma2: TSample; NumEvals: Integer; ThetaVar: TVec = nil; SumSqr: TVec = nil);
| Parameter | Description |
|---|---|
| kappa | Defines covariances for innovations algorithm. |
| Theta | Returns Theta[n,1]...Theta[n,n] coefficients. |
| Sigma2 | Returns variance. |
| NumEvals | Defines number of iterations of the innovation algorithm. |
| ThetaVar | If not nil, returns theta[n,1]..Theta[n,n] variances. |
| SumSqr | If not nil, returns sum of squares for each theta[n,i] element. |
Description
Uses the Innnovations algorithm to recursively calculate Theta[n,1]...Theta[n,n] coefficients.
Categories
ARMA and ARIMA routines| See Also |
|---|
| DurbinLevinson |
Declaration
Procedure Innovations(kappa: TDenseMtxVec; q: Integer; ThetaMtx: TMtx; Variances: TVec; NumEvals: Integer);
Description
Uses the Innnovations algorithm to recursively calculate Theta[1,1]...Theta[n,n] coefficients (all coefficients). The recursion relations are defined by the following equations:
where kappa(i,j) are covariances. Use this overloaded variant only when you need all theta[1,1]..theta[n,n] values, otherwise use vector version.
| Copyright 2008 Dew Research |