Class ARIMAForecastMultiStep
- java.lang.Object
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- dev.nm.stat.timeseries.linear.univariate.arima.ARIMAForecastMultiStep
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public class ARIMAForecastMultiStep extends Object
Makes forecasts for a time series assuming an ARIMA model using the innovative algorithm.
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Constructor Summary
Constructors Constructor Description ARIMAForecastMultiStep(IntTimeTimeSeries xt, ARIMAModel arima, int h)Makes the h-step ahead prediction for an ARIMA model.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description VectorallForecasts()Gets all the predictions of the next h steps in one vector.VectorallMSEs()Gets all the mean squared errors (MSE) of the h-step ahead predictions.doublevar()Gets the mean squared error of the h-step ahead prediction.doublexHat()The next h-step ahead prediction.doublexShifted(int t)Gets the shifted time series of observations.doubley(int t)Gets the stationary arma series.
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Constructor Detail
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ARIMAForecastMultiStep
public ARIMAForecastMultiStep(IntTimeTimeSeries xt, ARIMAModel arima, int h)
Makes the h-step ahead prediction for an ARIMA model.- Parameters:
xt- the observationsarima- the ARIMA modelh- a time step
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Method Detail
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y
public double y(int t)
Gets the stationary arma series.- Parameters:
t- the time index, counting from 1- Returns:
y[t]
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xShifted
public double xShifted(int t)
Gets the shifted time series of observations.- Parameters:
t- the time index, counting from -(d-1)- Returns:
x[t]
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xHat
public double xHat()
The next h-step ahead prediction.- Returns:
- the h-step ahead prediction
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allForecasts
public Vector allForecasts()
Gets all the predictions of the next h steps in one vector.- Returns:
- all the predictions of the next h steps
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var
public double var()
Gets the mean squared error of the h-step ahead prediction.- Returns:
- the mean squared error (variance)
- See Also:
- "eq. 9.5.6"
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allMSEs
public Vector allMSEs()
Gets all the mean squared errors (MSE) of the h-step ahead predictions.- Returns:
- the mean squared errors (variance) of all h steps
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