Class ARIMAModel
- java.lang.Object
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- dev.nm.stat.timeseries.linear.univariate.arima.ARIMAXModel
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- dev.nm.stat.timeseries.linear.univariate.arima.ARIMAModel
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- Direct Known Subclasses:
ARMAModel
public class ARIMAModel extends ARIMAXModel
An ARIMA(p, d, q) process, Xt, is such that \[ (1 - B)^d X_t = Y_t \] where B is the backward or lag operator, d the order of difference, Yt an ARMA(p, q) process, for which \[ Y_t = \mu + \Sigma \phi_i Y_{t-i} + \Sigma \theta_j \epsilon_{t-j} + \epsilon_t, \]
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Constructor Summary
Constructors Constructor Description ARIMAModel(double[] AR, int d, double[] MA)
Construct a univariate ARIMA model with unit variance and zero-intercept (mu).ARIMAModel(double[] AR, int d, double[] MA, double sigma)
Construct a univariate ARIMA model with zero-intercept (mu).ARIMAModel(double mu, double[] AR, int d, double[] MA)
Construct a univariate ARIMA model with unit variance.ARIMAModel(double mu, double[] AR, int d, double[] MA, double sigma)
Construct a univariate ARIMA model.ARIMAModel(ARIMAModel that)
Copy constructor.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description ARMAModel
getARMA()
Get the ARMA part of this ARIMA model, essentially ignoring the differencing.
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Constructor Detail
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ARIMAModel
public ARIMAModel(double mu, double[] AR, int d, double[] MA, double sigma)
Construct a univariate ARIMA model.- Parameters:
mu
- the intercept (constant) termAR
- the AR coefficients (excluding the initial 1);null
if no AR coefficientsd
- the order of integrationMA
- the MA coefficients (excluding the initial 1);null
if no MA coefficientssigma
- the white noise variance
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ARIMAModel
public ARIMAModel(double mu, double[] AR, int d, double[] MA)
Construct a univariate ARIMA model with unit variance.- Parameters:
mu
- the intercept (constant) termAR
- the AR coefficients (excluding the initial 1);null
if no AR coefficientsd
- the order of integrationMA
- the MA coefficients (excluding the initial 1);null
if no MA coefficients
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ARIMAModel
public ARIMAModel(double[] AR, int d, double[] MA, double sigma)
Construct a univariate ARIMA model with zero-intercept (mu).- Parameters:
AR
- the AR coefficients (excluding the initial 1);null
if no AR coefficientsd
- the order of integrationMA
- the MA coefficients (excluding the initial 1);null
if no MA coefficientssigma
- the white noise variance
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ARIMAModel
public ARIMAModel(double[] AR, int d, double[] MA)
Construct a univariate ARIMA model with unit variance and zero-intercept (mu).- Parameters:
AR
- the AR coefficients (excluding the initial 1);null
if no AR coefficientsd
- the order of integrationMA
- the MA coefficients (excluding the initial 1);null
if no MA coefficients
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ARIMAModel
public ARIMAModel(ARIMAModel that)
Copy constructor.- Parameters:
that
- a univariate ARIMA model
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Method Detail
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getARMA
public ARMAModel getARMA()
Get the ARMA part of this ARIMA model, essentially ignoring the differencing.- Returns:
- the ARMA part
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