public class ARMAForecastMultiStep extends Object
Constructor and Description |
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ARMAForecastMultiStep(double[] xt,
ARMAModel arma,
int h)
Makes the h-step ahead prediction for an ARMA model.
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ARMAForecastMultiStep(IntTimeTimeSeries xt,
ARMAModel arma)
Makes the one-step ahead prediction for an ARMA model.
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ARMAForecastMultiStep(IntTimeTimeSeries xt,
ARMAModel arma,
int h)
Makes the h-step ahead prediction for an ARMA model.
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ARMAForecastMultiStep(IntTimeTimeSeries xt,
ARMAModel arma,
int h,
InnovationsAlgorithm inn)
Makes the h-step ahead prediction for an ARMA model.
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ARMAForecastMultiStep(IntTimeTimeSeries xt,
ARMAModel arma,
int h,
InnovationsAlgorithm inn,
ARMAForecastOneStep forecast1)
Makes the h-step ahead prediction for an ARMA model.
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Modifier and Type | Method and Description |
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Vector |
allForecasts()
Gets all the predictions of the next h steps in one vector.
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Vector |
allMSEs()
Gets all the mean squared errors (MSE) of the h-step ahead predictions.
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ARMAForecastOneStep |
getARMAForecastOneStep()
Gets the auxiliary ARMA one-step ahead forecaster.
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InnovationsAlgorithm |
getStandardError()
Gets the the auxiliary coefficients, Θ and V, in using the innovative algorithm.
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double |
var()
Gets the mean squared error of the h-step ahead prediction.
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double |
xHat()
Gets the h-step ahead prediction of the time series.
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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 arma
public 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()
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