| ARAutoUnivariateGetTimsacAR Method |
Returns the final auto regressive parameter estimates at the
optimum AIC estimated by the original TIMSAC routine (UNIMAR).
Namespace: Imsl.Stat
Assembly: ImslCS (in ImslCS.dll) Version: 6.5.2.0
SyntaxReturn Value
Type: DoubleA double array of length p containing the estimates for the autoregressive parameters.
Exceptions| Exception | 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. |
Remarks
These estimates vary depending upon the value of maxlag
since its value changes the length of the series used to estimate
these parameters. Use the GetAR method to obtain the best
estimates from the estimation method specified by
EstimationMethod calculated using the maximum number of
available observations.
See Also