StatTimeSerAnalysis.ARMALogLike Function

-2log likelihood.

Pascal

function ARMALogLike(const Data: TVec; const Trend: TVec; const Phi: TVec; const Theta: TVec; const Residuals: TVec): double;

File

StatTimeSerAnalysis

Parameters

Parameters	Description
Data	Input date.
Trend	Optional trend line. Can be nil, if constant (average value) is assumed.
Phi	stores phi[0]..phi[p-1] coefficients. The order of AR(p) is defined by Phi vector length.
Theta	stores theta[0]..theta[q-1] coefficients. The order of AR(p) is defined by Phi vector length.
Residuals	stores the "errors" left after the fitting process.

Returns

-2log likelihood for ARIMA(p,q,d) process.

Example

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;

#include "MtxExpr.hpp"
#include "Math387.hpp"
#include "StatTimeSerAnalysis.hpp"
void __fastcall Example();
{
  sVector phi,theta,ts;
      ts.Size(100);
      ts.RandGauss();

      phi.SetIt(false,OPENARRAY(double,(0.33,-0.24)));
      theta.SetIt(false,OPENARRAY(double,(0.9)));
      // ARMA(2,1,2) process -> evaluate -2log likelihood
      double l = ARMALogLike(ts,phi,theta);
}

StatTimeSerAnalysis, Functions, Example

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