Int32 ARMAMLE(TVec Data, TVec P, TVec T, TVec Residuals, ref Double MLE, ref Double mu)
Estimate ARMA process AR and MA coefficients.
| # | Name | Description |
|---|---|---|
| 1 | Data | Time series data set. |
| 2 | P | ARIMA Before call stores initial estimates for ARIMA Phi coefficients. After call returns MLE estimates for Phi coefficients without leading 1.0. |
| 3 | T | ARIMA Before call stores initial estimates for ARIMA Theta coefficients. After call returns MLE estimates for Theta coefficients. |
| 4 | Residuals | Returns residuals between predicted (MLE) and actual time series values. |
| 5 | MLE | Returns -2 log likelihood of ARMA model. |
| 6 | mu | Returns the estimated modified series average value (constant). |
Returns: Int32 - Number of evaluations needed to converge to MLE solution.
Remarks:
Estimate ARMA(p,t) process coefficients by using MLE.