IMSL C# Numerical Library

ARMAMaxLikelihood Members

ARMAMaxLikelihood overview

Public Instance Constructors

ARMAMaxLikelihood Constructor Constructor for ARMAMaxLikelihood.

Public Instance Properties

BackwardOrigin	The maximum backward origin.
Confidence	The confidence level for calculating confidence limit deviations returned from `GetDeviations`.
Constant	The constant parameter in the ARMA series.
GradientTolerance	The gradient tolerance for the convergence algorithm.
InnovationVariance	The estimated innovation variance of this series.
Likelihood	The final estimate for $-2\ln(L)$ , where is equal to the likelihood function evaluated using the final parameter estimates.
MaxIterations	The maximum number of iterations.
Mean	The mean used for centering the series.
P	The number of autoregressive terms in the ARMA model
Q	The number of moving average terms in the ARMA model
Tolerance	The tolerance for the convergence algorithm.

Public Instance Methods

Compute	Computes the exact maximum likelihood estimates for the autoregressive and moving average parameters of an ARMA time series.
Equals (inherited from Object)	Determines whether the specified Object is equal to the current Object.
Forecast	Returns forecasts for lead times $l=1,2,\ldots,\rm{nForecast}$ at origins z.Length-BackwardOrigin-1+j where $j=1,\ldots,\rm{BackwardOrigin}+1$ .
GetAR	Returns the final autoregressive parameter estimates.
GetDeviations	Returns the deviations for each forecast used for calculating the forecast confidence limits.
GetForecast	Returns forecasts
GetGradients	Returns the gradients for the final parameter estimates.
GetHashCode (inherited from Object)	Serves as a hash function for a particular type, suitable for use in hashing algorithms and data structures like a hash table.
GetMA	Returns the final moving average parameter estimates.
GetPsiWeights	Returns the psi weights used for calculating forecasts from the infinite order moving average form of the ARMA model.
GetResiduals	The current values of the vector of residuals.
GetTimeSeries	Returns the time series used to construct `ARMAMaxLikelihood`.
GetType (inherited from Object)	Gets the Type of the current instance.
IsInvertible	Tests whether the coefficients in `ma` are invertible.
IsStationary	Tests whether the coefficients in `ar` are stationary.
SetAR	Sets the initial values for the autoregressive terms to the `p` values in `ar`.
SetMA	Sets the initial values for the moving average terms to the `q` values in `ma`.
ToString (inherited from Object)	Returns a String that represents the current Object.

Protected Instance Methods

Finalize (inherited from Object)	Allows an Object to attempt to free resources and perform other cleanup operations before the Object is reclaimed by garbage collection.
MemberwiseClone (inherited from Object)	Creates a shallow copy of the current Object.

See Also

ARMAMaxLikelihood Class | Imsl.Stat Namespace | Example