Class | Description |
---|---|
ARIMAForecast |
Forecasts an ARIMA time series using the innovative algorithm.
|
ARIMAForecast.Forecast |
The forecast value and variance.
|
ARIMAForecastMultiStep |
Makes forecasts for a time series assuming an ARIMA model using the innovative algorithm.
|
ARIMAModel |
An ARIMA(p, d, q) process, Xt, is such that
\[
(1 - B)^d X_t = Y_t
\]
where
B is the backward or lag operator, d the order of difference,
Yt an ARMA(p, q) process, for which
\[
Y_t = \mu + \Sigma \phi_i Y_{t-i} + \Sigma \theta_j \epsilon_{t-j} + \epsilon_t,
\]
|
ARIMASim |
This class simulates an ARIMA (AutoRegressive Integrated Moving Average) process.
|
ARIMAXModel |
The ARIMAX model (ARIMA model with eXogenous inputs) is a generalization of the ARIMA model by incorporating exogenous variables.
|
AutoARIMAFit |
Selects the order and estimates the coefficients of an ARIMA model automatically by AIC or AICC.
|
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