public class ConditionalSumOfSquares extends Object implements ARMAFit
arima
.Constructor and Description |
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ConditionalSumOfSquares(double[] x,
int p,
int d,
int q)
Fit an ARIMA model for the observations using CSS.
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ConditionalSumOfSquares(double[] x,
int p,
int d,
int q,
int maxIterations)
Fit an ARIMA model for the observations using CSS.
|
Modifier and Type | Method and Description |
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double |
AIC()
Compute the AIC, a model selection criterion.
|
double |
AICC()
Compute the AICC, a model selection criterion.
|
Matrix |
covariance()
Get the asymptotic covariance matrix of the estimated parameters,
φ and θ.
|
ARMAModel |
getARMAModel()
Get the fitted ARMA model.
|
ARIMAModel |
getModel()
Get the fitted ARIMA model.
|
int |
nParams()
Get the number of parameters for the estimation/fitting.
|
ImmutableVector |
stderr()
Get the asymptotic standard errors of the estimated parameters,
φ and θ.
|
String |
toString() |
double |
var()
Get the variance of the white noise.
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public ConditionalSumOfSquares(double[] x, int p, int d, int q, int maxIterations)
d
is taken as an input. If the
differenced input time series is not zero-mean, it is first de-mean-ed
before running the algorithm as in Brockwell and Davis. When reporting
the model, we compute the intercept to match the mean.x
- the time series of observationsp
- the number of AR termsd
- the order of integrationq
- the number of MA termsmaxIterations
- the maximum number of iterationspublic ConditionalSumOfSquares(double[] x, int p, int d, int q)
d
is taken as an input. If the
differenced input time series is not zero-mean, it is first de-mean-ed
before running the algorithm as in Brockwell and Davis. When reporting
the model, we compute the intercept to match the mean.x
- the time series of observationsp
- the number of AR termsd
- the order of integrationq
- the number of MA termspublic int nParams()
public ARIMAModel getModel()
public ARMAModel getARMAModel()
public double var()
ARMAFit
public Matrix covariance()
covariance
in interface ARMAFit
public ImmutableVector stderr()
public double AIC()
AIC
in interface ARMAFit
public double AICC()
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