2 src/math/ts/innovations.h
4 Copyright (C) 2006 Free Software Foundation, Inc. Written by Jason H. Stover.
6 This program is free software; you can redistribute it and/or modify it under
7 the terms of the GNU General Public License as published by the Free
8 Software Foundation; either version 2 of the License, or (at your option)
11 This program is distributed in the hope that it will be useful, but WITHOUT
12 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
13 FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for
16 You should have received a copy of the GNU General Public License along with
17 this program; if not, write to the Free Software Foundation, Inc., 51
18 Franklin Street, Fifth Floor, Boston, MA 02111-1307, USA.
21 Find preliminary ARMA coefficients via the innovations algorithm.
22 Also compute the sample mean and covariance matrix for each series.
26 P. J. Brockwell and R. A. Davis. Time Series: Theory and
27 Methods. Second edition. Springer. New York. 1991. ISBN
28 0-387-97429-6. Sections 5.2, 8.3 and 8.4.
32 #include <math/coefficient.h>
33 #include <math/design-matrix.h>
35 struct innovations_estimate
37 const struct variable *variable;
45 struct innovations_estimate ** pspp_innovations (const struct design_matrix *, size_t);
46 void pspp_innovations_free (struct innovations_estimate **, size_t);