idf_arma: Indirect Inference for ARMA

Description Usage Arguments Value

Description

Option for indirect inference

Usage

1
idf_arma(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.


gmwm documentation built on April 14, 2017, 4:38 p.m.