public class ARIMAForecastMultiStep extends Object
Constructor and Description |
---|
ARIMAForecastMultiStep(IntTimeTimeSeries xt,
ARIMAModel arima,
int h)
Makes the h-step ahead prediction for an ARIMA model.
|
Modifier and Type | Method and Description |
---|---|
Vector |
allForecasts()
Gets all the predictions of the next h steps in one vector.
|
Vector |
allMSEs()
Gets all the mean squared errors (MSE) of the h-step ahead predictions.
|
double |
var()
Gets the mean squared error of the h-step ahead prediction.
|
double |
xHat()
The next h-step ahead prediction.
|
double |
xShifted(int t)
Gets the shifted time series of observations.
|
double |
y(int t)
Gets the stationary arma series.
|
public ARIMAForecastMultiStep(IntTimeTimeSeries xt, ARIMAModel arima, int h)
xt
- the observationsarima
- the ARIMA modelh
- a time steppublic double y(int t)
t
- the time index, counting from 1y[t]
public double xShifted(int t)
t
- the time index, counting from -(d-1)x[t]
public double xHat()
public Vector allForecasts()
public double var()
public Vector allMSEs()
Copyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.