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StatTimeSerAnalysis.ARMAHannahFit Method
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Hannah-Rissanen ARMA estimation.

Syntax
C#
Visual Basic
public static void ARMAHannahFit([In] TVec Data, [In] TVec Phi, [In] TVec Theta, out double Sigma2);
Parameters
Parameters 
Description 
[In] TVec Data 
Time series. 
[In] TVec Phi 
Returns estimates for Phi coefficients. AR(p) order is determined by Phi length. 
[In] TVec Theta 
Returns estimates for Theta coefficients. MA(q) order is determined by Theta length. 
out double Sigma2 
Returns estimate for Sigma^2 i.e. ARMA model variance. 
Remarks

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

See Also
Group
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