ARMA.GetParamEstimatesCovariance Method

ARMAGetParamEstimatesCovariance Method

Returns the covariances of parameter estimates.

Namespace: Imsl.Stat
Assembly: ImslCS (in ImslCS.dll) Version: 6.5.2.0

Syntax

public double[,] GetParamEstimatesCovariance()

Public Function GetParamEstimatesCovariance As Double(,)

public:
array<double,2>^ GetParamEstimatesCovariance()

member GetParamEstimatesCovariance : unit -> float[,]

Return Value

Type: Double
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.

Reference

ARMA Class

Imsl.Stat Namespace