StatTimeSerAnalysis.ARMAHannahFit Function

Hannah-Rissanen ARMA estimation.

Pascal

procedure ARMAHannahFit(const Data: TVec; const Phi: TVec; const Theta: TVec; out Sigma2: double);

Parameters	Description
Data	Time series.
Phi	Returns estimates for Phi coefficients. AR(p) order is determined by Phi length.
Theta	Returns estimates for Theta coefficients. MA(q) order is determined by Theta length.
Sigma2	Returns estimate for Sigma^2 i.e. ARMA model variance.

Performs Hannah-Rissanen estimation for ARMA(p,q) model.