infer
Class: regARIMA
Infer innovations of regression models with ARIMA errors
Syntax
E = infer(Mdl,Y)
[E,U,V,logL]
= infer(Mdl,Y)
[E,U,V,logL]
= infer(Mdl,Y,Name,Value)
Description
infers
residuals of a univariate regression model with ARIMA time series
errors fit to response data E
= infer(Mdl
,Y
)Y
.
[
additionally
returns the unconditional disturbances E
,U
,V
,logL
]
= infer(Mdl
,Y
)U
, the innovation
variances V
, and the loglikelihood objective function
values logL
.
[
returns
the output arguments using additional options specified by one or
more E
,U
,V
,logL
]
= infer(Mdl
,Y
,Name,Value
)Name,Value
pair arguments.
Input Arguments
Output Arguments
Examples
References
[1] Box, G. E. P., G. M. Jenkins, and G. C. Reinsel. Time Series Analysis: Forecasting and Control. 3rd ed. Englewood Cliffs, NJ: Prentice Hall, 1994.
[2] Davidson, R., and J. G. MacKinnon. Econometric Theory and Methods. Oxford, UK: Oxford University Press, 2004.
[3] Enders, W. Applied Econometric Time Series. Hoboken, NJ: John Wiley & Sons, Inc., 1995.
[4] Hamilton, J. D. Time Series Analysis. Princeton, NJ: Princeton University Press, 1994.
[5] Pankratz, A. Forecasting with Dynamic Regression Models. John Wiley & Sons, Inc., 1991.
[6] Tsay, R. S. Analysis of Financial Time Series. 2nd ed. Hoboken, NJ: John Wiley & Sons, Inc., 2005.