idf_arma: Indirect Inference for ARMA
Description
Option for indirect inference
Usage
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.