StatTimeSerAnalysis.ARMAKappa Function

ARMA process covariances.

Pascal

function ARMAKappa(const gamma: TVec; const maacvf: TVec; const i: Integer; const j: Integer; const Phi: TVec; const Theta: TVec): double; overload;

Parameters	Description
gamma	Time series ACVF.
maacvf	The ACVF of a MA part of the model.
i
j
Phi	Stores Phi values for ARMA process.
Theta	Stores Theta values for ARMA process.

Calculates ARMA (p,q) process covariances. For ARMA process, covariances are defined as:

where gamma is time series autocovariance function, sigma^2 is estimated white noise, m=max(p,q) and phi, theta are AR and MA coefficients.