Class ARMAForecastMultiStep


  • public class ARMAForecastMultiStep
    extends Object
    Computes the h-step ahead prediction of a causal ARMA model, by the innovative algorithm.
    • Constructor Detail

      • ARMAForecastMultiStep

        public ARMAForecastMultiStep​(IntTimeTimeSeries xt,
                                     ARMAModel arma,
                                     int h,
                                     InnovationsAlgorithm inn,
                                     ARMAForecastOneStep forecast1)
        Makes the h-step ahead prediction for an ARMA model.
        Parameters:
        xt - the observations
        arma - the ARMA model
        h - a time step
        inn - the innovation algorithm to use
        forecast1 - the auxiliary one-step ahead forecast of xt using arma
      • ARMAForecastMultiStep

        public ARMAForecastMultiStep​(IntTimeTimeSeries xt,
                                     ARMAModel arma,
                                     int h,
                                     InnovationsAlgorithm inn)
        Makes the h-step ahead prediction for an ARMA model.
        Parameters:
        xt - the observations
        arma - the ARMA model
        h - a time step
        inn - the innovations
      • ARMAForecastMultiStep

        public ARMAForecastMultiStep​(IntTimeTimeSeries xt,
                                     ARMAModel arma,
                                     int h)
        Makes the h-step ahead prediction for an ARMA model.
        Parameters:
        xt - the observations
        arma - the ARMA model
        h - a time step
      • ARMAForecastMultiStep

        public ARMAForecastMultiStep​(double[] xt,
                                     ARMAModel arma,
                                     int h)
        Makes the h-step ahead prediction for an ARMA model.
        Parameters:
        xt - the observations
        arma - the ARMA model
        h - a time step
      • ARMAForecastMultiStep

        public ARMAForecastMultiStep​(IntTimeTimeSeries xt,
                                     ARMAModel arma)
        Makes the one-step ahead prediction for an ARMA model.
        Parameters:
        xt - the observations
        arma - the ARMA model
    • Method Detail

      • xHat

        public double xHat()
        Gets the h-step ahead prediction of the time series.
        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)
      • 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
      • getStandardError

        public InnovationsAlgorithm getStandardError()
        Gets the the auxiliary coefficients, Θ and V, in using the innovative algorithm.
        Returns:
        the the auxiliary coefficients, Θ and V, in using the innovative algorithm
      • getARMAForecastOneStep

        public ARMAForecastOneStep getARMAForecastOneStep()
        Gets the auxiliary ARMA one-step ahead forecaster.
        Returns:
        the auxiliary ARMA one-step ahead forecaster