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StatTimeSerAnalysis.Innovations Method ([In] TDenseMtxVec, [In] int, [In] TMtx, [In] TVec, [In] int)
StatTimeSerAnalysis Class  StatTimeSerAnalysis Members  Dew.Stats.Units Namespace  Innovations Method
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Uses the Innnovations algorithm to recursively calculate Theta[1,1]...Theta[n,n] coefficients (all coefficients).

Syntax
C#
Visual Basic
public static void Innovations([In] TDenseMtxVec kappa, [In] int q, [In] TMtx ThetaMtx, [In] TVec Variances, [In] int NumEvals);
Remarks

The recursion relations are defined by the following equations: 

 

where kappa(i,j) are covariances. Use this overloaded variant only when you need all theta[1,1]..theta[n,n] values, otherwise use vector version.

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