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StatTimeSerAnalysis.ARMAMLE Method
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Estimate ARMA process AR and MA coefficients.

Syntax
C#
Visual Basic
public static int ARMAMLE([In] TVec Data, [In] TVec P, [In] TVec T, [In] TVec Residuals, out double MLE, out double mu);
Parameters
Parameters 
Description 
[In] TVec Data 
Time series data set. 
[In] TVec P 
ARIMA Before call stores initial estimates for ARIMA Phi coefficients. After call returns MLE estimates for Phi coefficients without leading 1.0. 
[In] TVec T 
ARIMA Before call stores initial estimates for ARIMA Theta coefficients. After call returns MLE estimates for Theta coefficients. 
[In] TVec Residuals 
Returns residuals between predicted (MLE) and actual time series values. 
out double MLE 
Returns -2 log likelihood of ARMA model. 
out double mu 
Returns the estimated modified series average value (constant).  
Returns

Number of evaluations needed to converge to MLE solution.

Remarks

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

See Also
Group
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