void ARMAHannahFit(TVec *Data, TVec *Phi, TVec *Theta, double &Sigma2);
Hannah-Rissanen ARMA estimation.
| # | Name | Type | Description |
|---|---|---|---|
| 1 | Data | TVec * | Time series. |
| 2 | Phi | TVec * | Returns estimates for Phi coefficients. AR(p) order is determined by Phi length. |
| 3 | Theta | TVec * | Returns estimates for Theta coefficients. MA(q) order is determined by Theta length. |
| 4 | Sigma2 | double & | Returns estimate for Sigma^2 i.e. ARMA model variance. |
Remarks:
Performs Hannah-Rissanen estimation for ARMA(p,q) model.
See Also: StatTimeSerAnalysis::ARMAInnovationsFit
Declared in Dew::Stats::Units::StatTimeSerAnalysis · Dew.Stats/Units.StatTimeSerAnalysis.h · Cross-compiler