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StatTimeSerAnalysis.Innovations Method ([In] TDenseMtxVec, [In] TVec, out double, [In] int, [In] TVec, [In] TVec)
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The innovations algorithm.

Syntax
C#
Visual Basic
public static void Innovations([In] TDenseMtxVec kappa, [In] TVec Theta, out double Sigma2, [In] int NumEvals, [In] TVec ThetaVar, [In] TVec SumSqr);
Parameters
Parameters 
Description 
[In] TDenseMtxVec kappa 
Defines covariances for innovations algorithm. 
[In] TVec Theta 
Returns Theta[n,1]...Theta[n,n] coefficients. 
out double Sigma2 
Returns variance. 
[In] int NumEvals 
Defines number of iterations of the innovation algorithm. 
[In] TVec ThetaVar 
If not nil, returns theta[n,1]..Theta[n,n] variances. 
[In] TVec SumSqr 
If not nil, returns sum of squares for each theta[n,i] element.  
Remarks

Uses the Innnovations algorithm to recursively calculate Theta[n,1]...Theta[n,n] coefficients.

See Also
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