StatTimeSerAnalysis.ARMAMLE Function

Estimate ARMA process AR and MA coefficients.

Pascal

function ARMAMLE(const Data: TVec; const P: TVec; const T: TVec; const Residuals: TVec; out MLE: double; out mu: double): Integer; overload;

Parameters	Description
Data	Time series data set.
P	ARIMA Before call stores initial estimates for ARIMA Phi coefficients. After call returns MLE estimates for Phi coefficients without leading 1.0.
T	ARIMA Before call stores initial estimates for ARIMA Theta coefficients. After call returns MLE estimates for Theta coefficients.
Residuals	Returns residuals between predicted (MLE) and actual time series values.
MLE	Returns -2 log likelihood of ARMA model.
mu	Returns the estimated modified series average value (constant).

Number of evaluations needed to converge to MLE solution.

Estimate ARMA(p,t) process coefficients by using MLE.