The ARMAMaxLikelihood type exposes the following members.
Constructors
| Name | Description | |
|---|---|---|
 | ARMAMaxLikelihood |
Constructor for ARMAMaxLikelihood.
|
Methods
| Name | Description | |
|---|---|---|
| Compute |
Computes the exact maximum likelihood estimates for the autoregressive
and moving average parameters of an ARMA time series.
|
| Equals | (Inherited from Object.) |
 | Finalize |
Allows an Object to attempt to free resources and perform other cleanup operations before the Object is reclaimed by garbage collection.
(Inherited from Object.) |
| Forecast |
Returns forecasts for lead times
 at origins
z.Length-BackwardOrigin-1+j where
 .
|
| 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 |
Serves as a hash function for a particular type.
(Inherited from Object.) |
| 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 |
Gets the Type of the current instance.
(Inherited from Object.) |
| IsInvertible |
Tests whether the coefficients in ma are invertible.
|
| IsStationary |
Tests whether the coefficients in ar are stationary.
|
| MemberwiseClone |
Creates a shallow copy of the current Object.
(Inherited from Object.) |
| 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.) |
Properties
| Name | Description | |
|---|---|---|
 | 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  , 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.
|
