public class ARIMAForecastMultiStep extends Object
| Constructor and Description |
|---|
ARIMAForecastMultiStep(IntTimeTimeSeries xt,
ARIMAModel arima,
int h)
Makes the h-step ahead prediction for an ARIMA 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.
|
double |
var()
Gets the mean squared error of the h-step ahead prediction.
|
double |
xHat()
The next h-step ahead prediction.
|
double |
xShifted(int t)
Gets the shifted time series of observations.
|
double |
y(int t)
Gets the stationary arma series.
|
public ARIMAForecastMultiStep(IntTimeTimeSeries xt, ARIMAModel arima, int h)
xt - the observationsarima - the ARIMA modelh - a time steppublic double y(int t)
t - the time index, counting from 1y[t]public double xShifted(int t)
t - the time index, counting from -(d-1)x[t]public double xHat()
public Vector allForecasts()
public double var()
public Vector allMSEs()
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