function ARMALogLike(const Data: TVec; const Trend: TVec; const Phi: TVec; const Theta: TVec; const Residuals: TVec): Double;
-2log likelihood.
| # | Name | Description |
|---|---|---|
| 1 | Data | Input date. |
| 2 | Trend | Optional trend line. Can be nil, if constant (average value) is assumed. |
| 3 | Phi | stores phi[0]..phi[p-1] coefficients. The order of AR(p) is defined by Phi vector length. |
| 4 | Theta | stores theta[0]..theta[q-1] coefficients. The order of AR(p) is defined by Phi vector length. |
| 5 | Residuals | stores the "errors" left after the fitting process. |
Returns: Double - -2log likelihood for ARIMA(p,q,d) process.
Examples
Uses MtxExpr, StatTimeSerAnalysis, Math387;
procedure Example;
var phi,theta, ts: Vector;
l: double;
begin
ts.LoadFromFile('ts_data.vec');
phi.SetIt(false,[0.33,-0.24]);
theta.SetIt(false,[0.9]);
// ARMA(2,1,2) process -> evaluate -2log likelihood
l := ARMALogLike(ts,phi,theta);
end;