You are here: Symbol Reference > StatTimeSerAnalysis Namespace > Functions > StatTimeSerAnalysis.Innovations Function
Uses the Innnovations algorithm to recursively calculate Theta[1,1]...Theta[n,n] coefficients (all coefficients).
procedure Innovations(const kappa: TDenseMtxVec; const q: Integer; const ThetaMtx: TMtx; const Variances: TVec; const NumEvals: Integer); overload;
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.
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