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simts

idf_arma_total

Indirect Inference for ARMA

Description

Option for indirect inference

Usage

idf_arma_total(ar, ma, sigma2, N, robust, eff, H)

Arguments

ar

A vec that contains the coefficients of the AR process.
ma

A vec that contains the coefficients of the MA process.
sigma2

A double that indicates the sigma2 parameter of the ARMA process.
N

A int that indicates how long the time series is.
robust

A bool that indicates whether the estimation should be robust or not.
eff

A double that specifies the amount of efficiency required by the robust estimator.
H

A int that indicates how many iterations should take place.

Value

A vec with the indirect inference results.

simts

Time Series Analysis Tools

v0.1.1
AGPL-3 | file LICENSE
Authors
Stéphane Guerrier [aut, cre, cph], James Balamuta [aut, cph], Roberto Molinari [aut, cph], Justin Lee [aut], Yuming Zhang [aut], Wenchao Yang [ctb], Nathanael Claussen [ctb], Yunxiang Zhang [ctb], Christian Gunning [cph], Romain Francois [cph], Ross Ihaka [cph], R Core Team [cph]
Initial release
2019-07-21

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