The final estimate for the innovation variance calculated by the TIMSAC automatic AR modeling routine (UNIMAR).
A double scalar value equal to the estimate for the innovation variance.
This variance depends upon the value of maxlag since the series length in this computation depends on its value. Use InnovationVariance to return the innovation variance calculated using the maximum series length.
| 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. |
ARAutoUnivariate Class | Imsl.Stat Namespace