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StatTimeSerAnalysis.ARMAKappa Method ([In] TVec, [In] TVec, [In] int, [In] int, [In] TVec, [In] TVec)
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ARMA process covariances.

Syntax
C#
Visual Basic
public static double ARMAKappa([In] TVec gamma, [In] TVec maacvf, [In] int i, [In] int j, [In] TVec Phi, [In] TVec Theta);
Parameters
Parameters 
Description 
[In] TVec gamma 
Time series ACVF. 
[In] TVec maacvf 
The ACVF of a MA part of the model. 
[In] int i 
 
[In] int j 
 
[In] TVec Phi 
Stores Phi values for ARMA process. 
[In] TVec Theta 
Stores Theta values for ARMA process. 
Remarks

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.

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