Class ARIMAModel

  • 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 \[ Y_t = \mu + \Sigma \phi_i Y_{t-i} + \Sigma \theta_j \epsilon_{t-j} + \epsilon_t, \]
    See Also:
    Wikipedia: Autoregressive integrated moving average
    • Constructor Detail

      • ARIMAModel

        public ARIMAModel​(double mu,
                          double[] AR,
                          int d,
                          double[] MA,
                          double sigma)
        Construct a univariate ARIMA model.
        Parameters:
        mu - the intercept (constant) term
        AR - the AR coefficients (excluding the initial 1); null if no AR coefficients
        d - the order of integration
        MA - the MA coefficients (excluding the initial 1); null if no MA coefficients
        sigma - the white noise variance
      • ARIMAModel

        public ARIMAModel​(double mu,
                          double[] AR,
                          int d,
                          double[] MA)
        Construct a univariate ARIMA model with unit variance.
        Parameters:
        mu - the intercept (constant) term
        AR - the AR coefficients (excluding the initial 1); null if no AR coefficients
        d - the order of integration
        MA - the MA coefficients (excluding the initial 1); null if no MA coefficients
      • 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 coefficients
        d - the order of integration
        MA - the MA coefficients (excluding the initial 1); null if no MA coefficients
        sigma - the white noise variance
      • 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 coefficients
        d - the order of integration
        MA - the MA coefficients (excluding the initial 1); null if no MA coefficients
      • ARIMAModel

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

      • getARMA

        public ARMAModel getARMA()
        Get the ARMA part of this ARIMA model, essentially ignoring the differencing.
        Returns:
        the ARMA part