You are here: Symbol Reference > Dew Namespace > Dew.Stats Namespace > Dew.Stats.Units Namespace > Classes > StatTimeSerAnalysis Class > StatTimeSerAnalysis Methods > StatTimeSerAnalysis.ARMALogLike Method
Dew Stats for .NET
ContentsIndexHome
PreviousUpNext
StatTimeSerAnalysis.ARMALogLike Method
StatTimeSerAnalysis Class  StatTimeSerAnalysis Members  Dew.Stats.Units Namespace  StatTimeSerAnalysis Methods  Example
Collapse All

-2log likelihood.

Syntax
C#
Visual Basic
public static double ARMALogLike([In] TVec Data, [In] TVec Trend, [In] TVec Phi, [In] TVec Theta, [In] TVec Residuals);
Parameters
Parameters 
Description 
[In] TVec Data 
Input date. 
[In] TVec Trend 
Optional trend line. Can be nil, if constant (average value) is assumed.  
[In] TVec Phi 
stores phi[0]..phi[p-1] coefficients. The order of AR(p) is defined by Phi vector length. 
[In] TVec Theta 
stores theta[0]..theta[q-1] coefficients. The order of AR(p) is defined by Phi vector length. 
[In] TVec Residuals 
stores the "errors" left after the fitting process. 
Returns

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

Example
using Dew.Math; using Dew.Stats; using Dew.Stats.Units; namespace Dew.Examples { private void Example() { Vector phi = new Vector(0); Vector theta = new Vector(0); Vector ts = new Vector(0); phi.SetIt(false, new double[] {0.33,-0.24}); theta.SetIt(false,new double[] {0.9}); // ARMA(2,1,2) process -> evaluate -2log likelihood double l = StatTimeSerAnalysis.ARMALogLike(ts,phi,theta); } }
Group
Links
Copyright (c) 1999-2024 by Dew Research. All rights reserved.
Contents | Index | Home
What do you think about this topic? Send feedback!