Infer ARIMA or ARIMAX model residuals or conditional variances
[E,V] =
infer(Mdl,Y)
[E,V,logL]
= infer(Mdl,Y)
[E,V,logL] = infer(Mdl,Y,Name,Value)
[
infers
residuals and conditional variances of a univariate ARIMA model fit
to data E
,V
] =
infer(Mdl
,Y
)Y
.
[
additionally
returns the loglikelihood objective function values.E
,V
,logL
]
= infer(Mdl
,Y
)
[E,V,logL] = infer(Mdl,Y,
infers
the ARIMA or ARIMAX model residuals and conditional variances, and
returns the loglikelihood objective function values, with additional
options specified by one or more Name,Value
)Name,Value
pair
arguments.
[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] Enders, W. Applied Econometric Time Series. Hoboken, NJ: John Wiley & Sons, 1995.
[3] Hamilton, J. D. Time Series Analysis. Princeton, NJ: Princeton University Press, 1994.