Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: times
See also: armacls

Quantlet: 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

Example:

library("times")

randomize(0)

x = genarma(0.7,0.3,normal(100))

{a, stderr, covp, s2} = armalik(x)

a

Result:

Contents of a 

[1,]  0.87487 

[2,] -0.069252 


Library: times
See also: armacls

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Author: Christian Hafner, 960906
(C) MD*TECH Method and Data Technologies, 21.9.2000