TS_MAX_ARMA_LIKELIHOOD function [Time Series]

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.

TS_MAX_ARMA_LIKELIHOOD (timeseries_expression)

OVER (window-spec)

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 Numerical Library User’s Guide: Volume 2 of 2 C Stat Library.

This example shows an input data table, a SQL statement containing the TS_MAX_ARMA_LIKELIHOOD function, and the data values returned by the function. This example uses the following table (called DATASET) as its input data. The DATASET table contains 50 rows of time series data:

The following SQL statement returns the likelihood value of the maximum likelihood estimation on data from the data column:

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: