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: 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

Example:

library("times")

randomize(0)

x = genarma(0.7,0.3,normal(500))

{y,wnv}=armacls(x,1,1)

y{1}

Result:

Contents of minimum 

[1,]  0.70623 

[2,]  0.27249 


Library: times
See also: armalik

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