procedure ARMAHannahFit(const Data: TVec; const Phi: TVec; const Theta: TVec; out Sigma2: Double);
Hannah-Rissanen ARMA estimation.
| # | Name | Description |
|---|---|---|
| 1 | Data | Time series. |
| 2 | Phi | Returns estimates for Phi coefficients. AR(p) order is determined by Phi length. |
| 3 | Theta | Returns estimates for Theta coefficients. MA(q) order is determined by Theta length. |
| 4 | Sigma2 | Returns estimate for Sigma^2 i.e. ARMA model variance. |
Result: stored in self (calling object)
Remarks:
Performs Hannah-Rissanen estimation for ARMA(p,q) model.
See Also: StatTimeSerAnalysis.ARMAInnovationsFit