Library: | times |
See also: | armacls |
Macro: | armalik | |
Description: | estimates an ARMA(1,1) process with mean zero by maximum likelihood using the innovation algorithm |
Usage: | y = armalik(x) | |
Input: | ||
x | n-vector, the process | |
Output: | ||
y | list containing 1. the estimated parameters, 2. the corresponding asymptotic standard deviations, 3. the asymptotic covariance, and 4. the estimate of the white noise variance |
library("times") randomize(0) x = genarma(0.7,0.3,normal(100)) {a, stderr, covp, s2} = armalik(x) a
Contents of a [1,] 0.87487 [2,] -0.069252
Library: | times |
See also: | armacls |