Calculates the exact maximum likelihood estimation of the parameters in a univariate ARMA (autoregressive moving average) time series model, and returns likelihood value (ln) for the fitted model.
This function returns a double-precision floating-point value containing the value of -2*(ln(likelihood)). TS_MAX_ARMA_LIKELIHOOD calls the function imsls_d_max_arma in the IMSL libraries.
The arguments of TS_MAX_ARMA_LIKELIHOOD map to the IMSL library function imsls_d_max_arma as follows:
params = imsls_d_max_arma(n_objs, z, p, q, IMSLS_LOG_LIKELIHOOD, &likelihood, 0);
For detailed information on how the IMSL function imsls_d_max_arma performs time series calculations, see IMSL C Numerical Library User’s Guide: Volume 2 of 2 C Stat Library.
This example shows a SQL statement containing the TS_MAX_ARMA_LIKELIHOOD function and the data values returned by the function. This example uses the example input data table (called DATASET) as its input data.
Select ts_max_arma_likelihood(data) over (order by rownum rows between unbounded preceding and unbounded following) as res FROM DATASET
Sybase IQ returns 50 rows, each containing the same value: