public class ARMAForecastOneStep extends Object
| Constructor and Description |
|---|
ARMAForecastOneStep(double[] xt,
ARMAModel arma)
Makes the one-step ahead prediction for an ARMA model.
|
ARMAForecastOneStep(IntTimeTimeSeries xt,
ARMAModel arma)
Makes the one-step ahead prediction for an ARMA model.
|
ARMAForecastOneStep(IntTimeTimeSeries xt,
ARMAModel arma,
InnovationsAlgorithm inn)
Makes the one-step ahead prediction for an ARMA model.
|
| Modifier and Type | Method and Description |
|---|---|
static AutoCovarianceFunction |
K(ARMAModel arma) |
double |
var()
Gets the mean squared error of the one-step ahead prediction.
|
double |
var(int n)
Gets the mean squared error of the prediction at time n for \(\hat{x}_{n+1}\), i.e.,
\(E(x_{n+1} - \hat{x}_{n+1})^2\).
|
double |
xHat()
Gets the one-step ahead prediction of the time series.
|
double |
xHat(int n)
Gets the one-step ahead prediction \(\hat{x}_{n+1}\).
|
public ARMAForecastOneStep(IntTimeTimeSeries xt, ARMAModel arma, InnovationsAlgorithm inn)
xt - the observationsarma - the ARMA modelinn - the innovation algorithm to usepublic ARMAForecastOneStep(IntTimeTimeSeries xt, ARMAModel arma)
xt - the observationsarma - the ARMA modelpublic ARMAForecastOneStep(double[] xt,
ARMAModel arma)
xt - the observationsarma - the ARMA modelpublic static AutoCovarianceFunction K(ARMAModel arma)
public double xHat(int n)
n - time, ranging from 0 to T, the end of observation timepublic double var(int n)
n - time, ranging from 0 to T, the end of observation timepublic double xHat()
public double var()
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