Library: | times |
See also: | armalik |
Quantlet: | armacls | |
Description: | estimates an autoregressive moving average process with mean zero by conditional least squares |
Usage: | {y,wnv} = armacls(x,p,q) | |
Input: | ||
x | n-vector, the process | |
p | scalar, the autoregression order | |
q | scalar, the moving average order | |
Output: | ||
y | list containing 1. p+q-vector, the estimated parameters, 2. the number of iterations, and 3. a 0-1 scalar indicating convergence | |
wnv | scalar, the estimate of the white noise variance |
library("times") randomize(0) x = genarma(0.7,0.3,normal(500)) {y,wnv}=armacls(x,1,1) y{1}
Contents of minimum [1,] 0.70623 [2,] 0.27249
Library: | times |
See also: | armalik |