Stats Master VCL
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Innovations ARMA estimation.
Parameters |
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. |
Sigma2 |
Returns estimate for Sigma^2 i.e. MA model variance. |
PhiSE |
If not nil, returns estimated phi coefficients standard errors. |
ThetaSE |
If not nil, returns estimated phi coefficients standard errors. |
MaxLags |
Uses innovations algorithm to predict ARMA(p,q) process coefficients.
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