public class ARIMAXModel extends Object
| Constructor and Description |
|---|
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).
|
ARIMAXModel(double[] AR,
int d,
double[] MA,
double[] psi,
double sigma)
Construct a univariate ARIMAX model with zero-intercept (mu).
|
ARIMAXModel(double mu,
double[] AR,
int d,
double[] MA,
double[] psi)
Construct a univariate ARIMAX model with unit variance.
|
ARIMAXModel(double mu,
double[] AR,
int d,
double[] MA,
double[] psi,
double sigma)
Construct a univariate ARIMAX model.
|
| Modifier and Type | Method and Description |
|---|---|
double |
AR(int i)
Get the i-th AR coefficient; AR(0) = 1.
|
int |
d()
Get the order of integration.
|
ARMAXModel |
getARMAX()
Get the ARMAX part of this ARIMAX model, essentially ignoring the differencing.
|
double |
MA(int i)
Get the i-th MA coefficient; MA(0) = 1.
|
int |
maxPQ()
Get the maximum of AR length or MA length.
|
double |
mu()
Get the intercept (constant) term.
|
int |
p()
Get the number of AR terms.
|
double[] |
phi()
Get all the AR coefficients.
|
Polynomial |
phiPolynomial()
Get the polynomial (1 - φ).
|
double[] |
psi()
Get the coefficients of the deterministic terms.
|
int |
q()
Get the number of MA terms.
|
double |
sigma()
Get the white noise variance.
|
double[] |
theta()
Get all the MA coefficients.
|
Polynomial |
thetaPolynomial()
Get the polynomial (1 + θ).
|
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()
nullpublic int d()
public int p()
public int q()
public int maxPQ()
public double sigma()
public ARMAXModel getARMAX()
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