Class AutoARIMAFit


  • public class AutoARIMAFit
    extends Object
    Selects the order and estimates the coefficients of an ARIMA model automatically by AIC or AICC.
    • Constructor Detail

      • AutoARIMAFit

        public AutoARIMAFit​(double[] x,
                            int maxP,
                            int maxD,
                            int maxQ,
                            int minP,
                            int minQ,
                            int maxIteration)
        Automatically selects and estimates the ARIMA model using custom parameters.
        Parameters:
        x - the time series
        maxP - maximum number of AR order considered
        maxD - maximum number of integration order considered
        maxQ - maximum number of MA order considered
        minP - minimum number of AR order considered
        minQ - minimum number of MA order considered
        maxIteration - maximum number of iterations for optimization
      • AutoARIMAFit

        public AutoARIMAFit​(double[] x)
        Automatically selects and estimates the ARIMA model using default parameters.
        Parameters:
        x - the time series
    • Method Detail

      • optimalModelByAIC

        public ARIMAModel optimalModelByAIC()
        Selects the optimal ARIMA model by AIC.
        Returns:
        the optimal ARIMA model
      • optimalModelByAICC

        public ARIMAModel optimalModelByAICC()
        Selects the optimal ARIMA model by AICC.
        Returns:
        the optimal ARIMA model