IMSL C# Numerical Library

ARMAMaxLikelihood Constructor 

Constructor for ARMAMaxLikelihood.

public ARMAMaxLikelihood(
   int p,
   int q,
   double[] z
);

Parameters

p
An int scalar equal to the number of autoregressive (AR) parameters.
q
A int scalar equal to the number of moving average (MA) parameters.
z
A double array containing the time series.

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.

See Also

ARMAMaxLikelihood Class | Imsl.Stat Namespace