idf_arma_total {simts} | R Documentation |
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.
[Package
simts version 0.2.2
Index]