A Clojure library for calculating statistics of time series data.
The library currently exposes two functions: log-likelihood and aic.
(:require [succession.core :as s])
(def ts (range 10))
;; Calculate the log likelihood of an ARMA(2,2) model
;; with the paramaters [0.1 0.2 0.3 0.4]
(s/log-likelihood [0.1 0.2 0.3 0.4] 2 2 ts)
;; -24.87389765998291
;; Calculate the AIC
(s/aic [0.1 0.2 0.3 0.4] 2 2 (range 10))
;; 59.74779531996582Copyright © 2015 Henry Garner
Distributed under the Eclipse Public License either version 1.0 or (at your option) any later version.