IMSL C# Numerical Library

ARMA.GetParamEstimatesCovariance Method 

Returns the covariances of parameter estimates.

public double[,] GetParamEstimatesCovariance();

Return Value

A double matrix of np by np dimensions, where np = p + q + 1 if z is centered about Mean, and np = p + q if z is not centered, containing the covariances of parameter estimates.

Remarks

The ordering of variables is mean, AR, and MA.

Note that the Compute method must be invoked first before invoking this method. Otherwise, the method throws a NullReferenceException exception.

See Also

ARMA Class | Imsl.Stat Namespace