public class ARMAForecastMultiStep extends Object
| Constructor and Description |
|---|
ARMAForecastMultiStep(double[] xt,
ARMAModel arma,
int h)
Makes the h-step ahead prediction for an ARMA model.
|
ARMAForecastMultiStep(IntTimeTimeSeries xt,
ARMAModel arma)
Makes the one-step ahead prediction for an ARMA model.
|
ARMAForecastMultiStep(IntTimeTimeSeries xt,
ARMAModel arma,
int h)
Makes the h-step ahead prediction for an ARMA model.
|
ARMAForecastMultiStep(IntTimeTimeSeries xt,
ARMAModel arma,
int h,
InnovationsAlgorithm inn)
Makes the h-step ahead prediction for an ARMA model.
|
ARMAForecastMultiStep(IntTimeTimeSeries xt,
ARMAModel arma,
int h,
InnovationsAlgorithm inn,
ARMAForecastOneStep forecast1)
Makes the h-step ahead prediction for an ARMA 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.
|
ARMAForecastOneStep |
getARMAForecastOneStep()
Gets the auxiliary ARMA one-step ahead forecaster.
|
InnovationsAlgorithm |
getStandardError()
Gets the the auxiliary coefficients, Θ and V, in using the innovative algorithm.
|
double |
var()
Gets the mean squared error of the h-step ahead prediction.
|
double |
xHat()
Gets the h-step ahead prediction of the time series.
|
public ARMAForecastMultiStep(IntTimeTimeSeries xt, ARMAModel arma, int h, InnovationsAlgorithm inn, ARMAForecastOneStep forecast1)
xt - the observationsarma - the ARMA modelh - a time stepinn - the innovation algorithm to useforecast1 - the auxiliary one-step ahead forecast of xt using armapublic ARMAForecastMultiStep(IntTimeTimeSeries xt, ARMAModel arma, int h, InnovationsAlgorithm inn)
xt - the observationsarma - the ARMA modelh - a time stepinn - the innovationspublic ARMAForecastMultiStep(IntTimeTimeSeries xt, ARMAModel arma, int h)
xt - the observationsarma - the ARMA modelh - a time steppublic ARMAForecastMultiStep(double[] xt,
ARMAModel arma,
int h)
xt - the observationsarma - the ARMA modelh - a time steppublic ARMAForecastMultiStep(IntTimeTimeSeries xt, ARMAModel arma)
xt - the observationsarma - the ARMA modelpublic double xHat()
public Vector allForecasts()
public double var()
public Vector allMSEs()
public InnovationsAlgorithm getStandardError()
public ARMAForecastOneStep getARMAForecastOneStep()
Copyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.