Class ARMAXModel


  • public class ARMAXModel
    extends ARIMAXModel
    The ARMAX model (ARIMA model with eXogenous inputs) is a generalization of the ARMA model by incorporating exogenous variables. Xt is an ARMAX(p, q) process, for which \[ X_t = \mu + \sum_{i=1}^p \phi_i X_{t-i} + \sum_{i=1}^q \theta_j \epsilon_{t-j} + \psi' D_t + \epsilon_t, \] where Dt is an (m * 1) vector which contains all exogenous variables at time t (excluding the intercept term), and its coefficients are represented by an m-dimensional vector ψ.
    See Also:
    Wikipedia: Autoregressive moving average model with exogenous inputs model (ARMAX model)
    • Constructor Detail

      • ARMAXModel

        public ARMAXModel​(double mu,
                          double[] AR,
                          double[] MA,
                          double[] psi,
                          double sigma)
        Construct a univariate ARMAX model.
        Parameters:
        mu - the intercept (constant) term
        AR - the AR coefficients (excluding the initial 1); null if no AR coefficients
        MA - the MA coefficients (excluding the initial 1); null if no MA coefficients
        psi - the coefficients of the deterministic terms (excluding the intercept term)
        sigma - the white noise variance
      • ARMAXModel

        public ARMAXModel​(double mu,
                          double[] AR,
                          double[] MA,
                          double[] psi)
        Construct a univariate ARMAX model with unit variance.
        Parameters:
        mu - the intercept (constant) term
        AR - the AR coefficients (excluding the initial 1); null if no AR coefficients
        MA - the MA coefficients (excluding the initial 1); null if no MA coefficients
        psi - the coefficients of the deterministic terms (excluding the intercept term)
      • ARMAXModel

        public ARMAXModel​(double[] AR,
                          double[] MA,
                          double[] psi,
                          double sigma)
        Construct a univariate ARMAX model with zero-intercept (mu).
        Parameters:
        AR - the AR coefficients (excluding the initial 1); null if no AR coefficients
        MA - the MA coefficients (excluding the initial 1); null if no MA coefficients
        psi - the coefficients of the deterministic terms (excluding the intercept term)
        sigma - the white noise variance
      • ARMAXModel

        public ARMAXModel​(double[] AR,
                          double[] MA,
                          double[] psi)
        Construct a univariate ARMAX model with unit variance and zero-intercept (mu).
        Parameters:
        AR - the AR coefficients (excluding the initial 1); null if no AR coefficients
        MA - the MA coefficients (excluding the initial 1); null if no MA coefficients
        psi - the coefficients of the deterministic terms (excluding the intercept term)
      • ARMAXModel

        public ARMAXModel​(ARMAXModel that)
        Copy constructor.
        Parameters:
        that - a univariate ARMAX model
    • Method Detail

      • armaxMean

        public double armaxMean​(double[] arLags,
                                double[] maLags,
                                double[] exVar)
        Compute the univariate ARMAX conditional mean.
        Parameters:
        arLags - the AR lags
        maLags - the MA lags
        exVar - the exogenous variables
        Returns:
        the conditional mean