com.numericalmethod.suanshu.stats.timeseries.linear.univariate.stationaryprocess.arima
Class ArimaModel

java.lang.Object
  com.numericalmethod.suanshu.stats.timeseries.linear.univariate.stationaryprocess.arima.ArimaxModel
      com.numericalmethod.suanshu.stats.timeseries.linear.univariate.stationaryprocess.arima.ArimaModel

Direct Known Subclasses:

ArmaModel

public class ArimaModel
extends ArimaxModel

This class represents an ARIMA model.

See Also:

Wikipedia: Autoregressive integrated moving average

Field Summary

Fields inherited from class com.numericalmethod.suanshu.stats.timeseries.linear.univariate.stationaryprocess.arima.ArimaxModel

AR, MA, mu, psi, sigma

Constructor Summary

ArimaModel(ArimaModel that)
Copy constructor.

ArimaModel(double[] AR, int d, double[] MA)
Construct a zero-intercept (mu) univariate ARIMA model with unit variance.

ArimaModel(double[] AR, int d, double[] MA, double sigma)
Construct a zero-intercept (mu) univariate ARIMA model.

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.

Method Summary

ArmaModel

getArma() Get the ARMA specification of this ARIMA model, essentially ignoring the differencing.

Methods inherited from class com.numericalmethod.suanshu.stats.timeseries.linear.univariate.stationaryprocess.arima.ArimaxModel

AR, AR, d, getArmax, MA, MA, maxPQ, mu, p, psi, q, sigma

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

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 coefficient

d - the order of integration

MA - the MA coefficients (excluding the initial 1); null if no MA coefficient

ArimaModel

public ArimaModel(double[] AR,
                  int d,
                  double[] MA,
                  double sigma)

Construct a zero-intercept (mu) univariate ARIMA model.

Parameters:

AR - the AR coefficients (excluding the initial 1); null if no AR coefficient

d - the order of integration

MA - the MA coefficients (excluding the initial 1); null if no MA coefficient

sigma - the white noise variance

ArimaModel

public ArimaModel(double[] AR,
                  int d,
                  double[] MA)

Construct a zero-intercept (mu) univariate ARIMA model with unit variance.

Parameters:

AR - the AR coefficients (excluding the initial 1); null if no AR coefficient

d - the order of integration

MA - the MA coefficients (excluding the initial 1); null if no MA coefficient

ArimaModel

public ArimaModel(ArimaModel that)

Copy constructor.

Parameters:

that - a univariate ARIMA model

Method Detail

getArma

public ArmaModel getArma()

Get the ARMA specification of this ARIMA model, essentially ignoring the differencing.

Returns:

the ARMA specification