IMSL C# Numerical Library

ARAutoUnivariate.GetTimsacAR Method 

Returns the final auto regressive parameter estimates at the optimum AIC estimated by the original TIMSAC routine (UNIMAR).

public double[] GetTimsacAR();

Return Value

A double array of length p containing the estimates for the autoregressive parameters.

Remarks

These estimates vary depending upon the value of maxlag since its value changes the length of the series used to estimate these parameters. Use the GetAR method to obtain the best estimates from the estimation method specified by EstimationMethod calculated using the maximum number of available observations.

Exceptions

Exception Type Condition
MatrixSingularException is thrown if the input matrix is singular.
TooManyCallsException is thrown if the number of calls to the function has exceeded the maximum number of iterations times the number of moving average (MA) parameters + 1.
IncreaseErrRelException is thrown if the bound for the relative error is too small.
NewInitialGuessException is thrown if the iteration has not made good progress.
IllConditionedException is thrown if the problem is ill-conditioned.
TooManyIterationsException is thrown if the maximum number of iterations is exceeded.
TooManyFunctionEvaluationsException is thrown if the maximum number of function evaluations is exceeded.
TooManyJacobianEvalException is thrown if the maximum number of Jacobian evaluations is exceeded.
SingularTriangularMatrixException is thrown if the input triangular matrix is singular.
NonStationaryException is thrown if the final maximum likelihood estimates for the time series are nonstationary.

See Also

ARAutoUnivariate Class | Imsl.Stat Namespace