Overload List
| # | Signature | Description |
|---|---|---|
| 1 | void ARMAInnovationsFit(TVec *Data, TVec *Phi, TVec *Theta, double &Sigma2, TVec *PhiSE = null, TVec *ThetaSE = null, int MaxLags = - 1); | Innovations ARMA estimation. |
| 2 | void ARMAInnovationsFit(TVec *Data, TVec *Theta, double &Sigma2, TVec *StdErrs = null, int MaxLags = - 1); | Innovations ARMA estimation. |
Overload 1: void ARMAInnovationsFit(TVec *Data, TVec *Phi, TVec *Theta, double &Sigma2, TVec *PhiSE = null, TVec *ThetaSE = null, int MaxLags = - 1);
Innovations ARMA estimation.
| # | Name | Type | Description |
|---|---|---|---|
| 1 | Data | TVec * | Zero-mean time series. If this is not the case, subtract the mean from data. |
| 2 | Phi | TVec * | Returns estimates for phi coefficients phi[1]..phi[p]. AR(p) order is determined by Phi length. |
| 3 | Theta | TVec * | Returns estimates for theta coefficients theta[1]..theta[q]. MA(q) order is determined by Theta length. |
| 4 | Sigma2 | double & | Returns estimate for Sigma^2 i.e. MA model variance. |
| 5 | PhiSE = null | TVec * | If not nil, returns estimated phi coefficients standard errors. |
| 6 | ThetaSE = null | TVec * | If not nil, returns estimated phi coefficients standard errors. |
| 7 | MaxLags = - 1 | int | Defines maximum lag used in calculation of ACVF. If MaxLags is -1 then the following formula will be used to automatically set lag number:Ceil(10*Log10(Data.Length)). |
Remarks:
Uses innovations algorithm to predict ARMA(p,q) process coefficients.
See Also: StatTimeSerAnalysis::ARMAHannahFit
Declared in Dew::Stats::Units::StatTimeSerAnalysis · Dew.Stats/Units.StatTimeSerAnalysis.h · Cross-compiler