1 /* Copyright (C) 1997-2001 Adrian Trapletti
2
3 This library is free software; you can redistribute it and/or
4 modify it under the terms of the GNU Library General Public
5 License as published by the Free Software Foundation; either
6 version 2 of the License, or (at your option) any later version.
7
8 This library is distributed in the hope that it will be useful,
9 but WITHOUT ANY WARRANTY; without even the implied warranty of
10 MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
11 Library General Public License for more details.
12
13 You should have received a copy of the GNU Library General Public
14 License along with this library; if not, write to the Free
15 Foundation, Inc., 59 Temple Place, Suite 330, Boston, MA 02111-1307 USA
16
17 ARMA estimation */
18
19
tseries_arma(double * x,double * u,double * a,int * ar,int * ma,int * arl,int * mal,int * max,int * n,int * intercept)20 void tseries_arma (double *x, double *u, double *a, int *ar, int *ma,
21 int *arl, int *mal, int *max, int *n, int *intercept)
22 /* compute conditional sum of squares */
23 {
24 int i, j;
25 double sum;
26
27 for (i=(*max); i<(*n); i++)
28 {
29 if (*intercept) sum = a[(*mal)+(*arl)];
30 else sum = 0.0;
31 for (j=0; j<(*arl); j++)
32 sum += a[j]*x[i-ar[j]];
33 for (j=0; j<(*mal); j++)
34 sum += a[j+(*arl)]*u[i-ma[j]];
35 u[i]=x[i]-sum;
36 }
37 }
38
39
40