Sets backcasting option.

Parameters

maxBackcast

An int scalar containing the maximum length of backcasting and must be greater than or equal to 0. By default, maxBackcast = 10.

tolerance

A double scalar containing the tolerance level used to determine convergence of the backcast algorithm. Typically, tolerance is set to a fraction of an estimate of the standard deviation of the time series. By default, tolerance = 0.01 * standard deviation of z.

See Also

ARMA Class | Imsl.Stat Namespace

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