Overload List
| # | Signature | Description |
|---|---|---|
| 1 | procedure ARMAInnovationsFit(const Data: TVec; const Phi: TVec; const Theta: TVec; out Sigma2: Double; const PhiSE: TVec; const ThetaSE: TVec; MaxLags: Integer); | Innovations ARMA estimation. |
| 2 | procedure ARMAInnovationsFit(const Data: TVec; const Theta: TVec; out Sigma2: Double; const StdErrs: TVec; MaxLags: Integer); | Innovations ARMA estimation. |
Overload 1: procedure ARMAInnovationsFit(const Data: TVec; const Phi: TVec; const Theta: TVec; out Sigma2: Double; const PhiSE: TVec; const ThetaSE: TVec; MaxLags: Integer);
Innovations ARMA estimation.
| # | Name | Description |
|---|---|---|
| 1 | Data | Zero-mean time series. If this is not the case, subtract the mean from data. |
| 2 | Phi | Returns estimates for phi coefficients phi[1]..phi[p]. AR(p) order is determined by Phi length. |
| 3 | Theta | Returns estimates for theta coefficients theta[1]..theta[q]. MA(q) order is determined by Theta length. |
| 4 | PhiSE | If not nil, returns estimated phi coefficients standard errors. |
| 5 | ThetaSE | If not nil, returns estimated phi coefficients standard errors. |
| 6 | Sigma2 | Returns estimate for Sigma^2 i.e. MA model variance. |
| 7 | MaxLags | 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)). |
Result: stored in self (calling object)
Remarks:
Uses innovations algorithm to predict ARMA(p,q) process coefficients.
See Also: StatTimeSerAnalysis.ARMAHannahFit
Overload 2: procedure ARMAInnovationsFit(const Data: TVec; const Theta: TVec; out Sigma2: Double; const StdErrs: TVec; MaxLags: Integer);
Innovations ARMA estimation.
| # | Name | Type | Description |
|---|---|---|---|
| 1 | Data | TVec | |
| 2 | Theta | TVec | |
| 3 | Sigma2 | Double | |
| 4 | StdErrs | TVec | |
| 5 | MaxLags | Integer |
Result: stored in self (calling object)