You are here: Symbol Reference > StatTimeSerAnalysis Namespace > Functions > StatTimeSerAnalysis.Innovations Function
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Stats Master VCL
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StatTimeSerAnalysis.Innovations Function
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Stats Master VCL
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The innovations algorithm.
procedure Innovations(const kappa: TDenseMtxVec; const Theta: TVec; out Sigma2: double; const NumEvals: Integer; const ThetaVar: TVec = nil; const SumSqr: TVec = nil); overload;
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Parameters |
Description |
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kappa |
Defines covariances for innovations algorithm. |
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Theta |
Returns Theta[n,1]...Theta[n,n] coefficients. |
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Sigma2 |
Returns variance. |
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NumEvals |
Defines number of iterations of the innovation algorithm. |
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ThetaVar |
If not nil, returns theta[n,1]..Theta[n,n] variances. |
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SumSqr |
If not nil, returns sum of squares for each theta[n,i] element. |
Uses the Innnovations algorithm to recursively calculate Theta[n,1]...Theta[n,n] coefficients.
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