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ARAutoUnivariateTimsacVariance Property
The final estimate for the innovation variance calculated by the TIMSAC automatic AR modeling routine (UNIMAR).

Namespace: Imsl.Stat
Assembly: ImslCS (in ImslCS.dll) Version: 6.5.2.0
Syntax
Copy
public double TimsacVariance { get; }

Property Value

Type: Double
A double scalar value equal to the estimate for the innovation variance.
Exceptions
ExceptionCondition
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
This variance depends upon the value of maxlag since the series length in this computation depends on its value. Use InnovationVariance to return the innovation variance calculated using the maximum series length.
See Also