Class AutoARIMAFit
- java.lang.Object
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- dev.nm.stat.timeseries.linear.univariate.arima.AutoARIMAFit
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public class AutoARIMAFit extends Object
Selects the order and estimates the coefficients of an ARIMA model automatically by AIC or AICC.
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Constructor Summary
Constructors Constructor Description AutoARIMAFit(double[] x)
Automatically selects and estimates the ARIMA model using default parameters.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.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description ARIMAModel
optimalModelByAIC()
Selects the optimal ARIMA model by AIC.ARIMAModel
optimalModelByAICC()
Selects the optimal ARIMA model by AICC.
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Field Detail
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MAX_ITERATION
public static final int MAX_ITERATION
- See Also:
- Constant Field Values
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MAX_P
public static final int MAX_P
- See Also:
- Constant Field Values
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MAX_D
public static final int MAX_D
- See Also:
- Constant Field Values
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MAX_Q
public static final int MAX_Q
- See Also:
- Constant Field Values
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MIN_P
public static final int MIN_P
- See Also:
- Constant Field Values
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MIN_Q
public static final int MIN_Q
- See Also:
- Constant Field Values
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Constructor Detail
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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 seriesmaxP
- maximum number of AR order consideredmaxD
- maximum number of integration order consideredmaxQ
- maximum number of MA order consideredminP
- minimum number of AR order consideredminQ
- minimum number of MA order consideredmaxIteration
- maximum number of iterations for optimization
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AutoARIMAFit
public AutoARIMAFit(double[] x)
Automatically selects and estimates the ARIMA model using default parameters.- Parameters:
x
- the time series
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Method Detail
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optimalModelByAIC
public ARIMAModel optimalModelByAIC()
Selects the optimal ARIMA model by AIC.- Returns:
- the optimal ARIMA model
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optimalModelByAICC
public ARIMAModel optimalModelByAICC()
Selects the optimal ARIMA model by AICC.- Returns:
- the optimal ARIMA model
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