public class ARIMAXModel extends Object
Constructor and Description |
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ARIMAXModel(ARIMAXModel that)
Copy constructor.
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ARIMAXModel(double[] AR,
int d,
double[] MA,
double[] psi)
Construct a univariate ARIMAX model with unit variance and zero-intercept (mu).
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ARIMAXModel(double[] AR,
int d,
double[] MA,
double[] psi,
double sigma)
Construct a univariate ARIMAX model with zero-intercept (mu).
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ARIMAXModel(double mu,
double[] AR,
int d,
double[] MA,
double[] psi)
Construct a univariate ARIMAX model with unit variance.
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ARIMAXModel(double mu,
double[] AR,
int d,
double[] MA,
double[] psi,
double sigma)
Construct a univariate ARIMAX model.
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Modifier and Type | Method and Description |
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double |
AR(int i)
Get the i-th AR coefficient; AR(0) = 1.
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int |
d()
Get the order of integration.
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ARMAXModel |
getARMAX()
Get the ARMAX part of this ARIMAX model, essentially ignoring the differencing.
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double |
MA(int i)
Get the i-th MA coefficient; MA(0) = 1.
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int |
maxPQ()
Get the maximum of AR length or MA length.
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double |
mu()
Get the intercept (constant) term.
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int |
p()
Get the number of AR terms.
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double[] |
phi()
Get all the AR coefficients.
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Polynomial |
phiPolynomial()
Get the polynomial (1 - φ).
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double[] |
psi()
Get the coefficients of the deterministic terms.
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int |
q()
Get the number of MA terms.
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double |
sigma()
Get the white noise variance.
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double[] |
theta()
Get all the MA coefficients.
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Polynomial |
thetaPolynomial()
Get the polynomial (1 + θ).
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String |
toString() |
public ARIMAXModel(double mu, double[] AR, int d, double[] MA, double[] psi, double sigma)
mu
- the intercept (constant) termAR
- the AR coefficients (excluding the initial 1); null
if no AR coefficientd
- the order of integrationMA
- the MA coefficients (excluding the initial 1); null
if no MA coefficientpsi
- the coefficients of the deterministic terms (excluding the intercept term)sigma
- the white noise variancepublic ARIMAXModel(double mu, double[] AR, int d, double[] MA, double[] psi)
mu
- the intercept (constant) termAR
- the AR coefficients (excluding the initial 1); null
if no AR coefficientd
- the order of integrationMA
- the MA coefficients (excluding the initial 1); null
if no MA coefficientpsi
- the coefficients of the deterministic terms (excluding the intercept term)public ARIMAXModel(double[] AR, int d, double[] MA, double[] psi, double sigma)
AR
- the AR coefficients (excluding the initial 1); null
if no AR coefficientd
- the order of integrationMA
- the MA coefficients (excluding the initial 1); null
if no MA coefficientpsi
- the coefficients of the deterministic terms (excluding the intercept term)sigma
- the white noise variancepublic ARIMAXModel(double[] AR, int d, double[] MA, double[] psi)
AR
- the AR coefficients (excluding the initial 1); null
if no AR coefficientd
- the order of integrationMA
- the MA coefficients (excluding the initial 1); null
if no MA coefficientpsi
- the coefficients of the deterministic terms (excluding the intercept term)public ARIMAXModel(ARIMAXModel that)
that
- a univariate ARIMAX modelpublic double mu()
public double AR(int i)
i
- an indexpublic double[] phi()
public Polynomial phiPolynomial()
AR(int)
and
phi()
.public double MA(int i)
i
- an indexpublic double[] theta()
public Polynomial thetaPolynomial()
public double[] psi()
null
public int d()
public int p()
public int q()
public int maxPQ()
public double sigma()
public ARMAXModel getARMAX()
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