Class ARIMAForecastMultiStep


  • public class ARIMAForecastMultiStep
    extends Object
    Makes forecasts for a time series assuming an ARIMA model using the innovative algorithm.
    • Constructor Detail

      • ARIMAForecastMultiStep

        public ARIMAForecastMultiStep​(IntTimeTimeSeries xt,
                                      ARIMAModel arima,
                                      int h)
        Makes the h-step ahead prediction for an ARIMA model.
        Parameters:
        xt - the observations
        arima - the ARIMA model
        h - a time step
    • Method Detail

      • y

        public double y​(int t)
        Gets the stationary arma series.
        Parameters:
        t - the time index, counting from 1
        Returns:
        y[t]
      • 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]
      • xHat

        public double xHat()
        The next h-step ahead prediction.
        Returns:
        the h-step ahead prediction
      • 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
      • 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"
      • 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