idf_arma: Indirect Inference for ARMA
In simts: Time Series Analysis Tools

idf_arma

R Documentation

Indirect Inference for ARMA

Option for indirect inference

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

`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.