| 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 | |
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 |