StatTimeSerAnalysis::ARARForecast Function

void ARARForecast(TVec Data, TVec Phi, TVec Filter, const int tau, const int l1, const int l2, const int l3, const double SMean, const int N, TVec aResult, TVec *StdErrs, double &RMSE);

Forecast time series by ARAR.

#	Name	Type	Description
1	Data	TVec *	Defines original time series.
2	Phi	TVec *	Defines ARAR model Phi coefficients (phi[0],phi[1],phi[2],phi[3]).
3	Filter	TVec *	Defines memory shortening filter, obtained from memory-shortening operation. In case no memory-shortening is performed, set filter to 1.0 by using Filter.SetIt([1.0]).
4	tau	const int	Defines memory-shortening optimal lag, obtained from memory-shortening operation. In case no memory-shortening is performed, set it to 1.
5	l1	const int	Defines optimal lag for phi[l1] (see equation above).
6	l2	const int	Defines optimal lag for phi[l2] (see equation above).
7	l3	const int	Defines optimal lag for phi[l3] (see equation above).
8	SMean	const double	Defines memory-shortened series mean.
9	N	const int	Defines number of forecasts.
10	aResult	TVec *	Returns forecasts. Size and complex properties of Result are adjusted automatically.
11	StdErrs	TVec *	Returns forecasts standard errors. Size and complex properties of StdErrs are adjusted automatically.
12	RMSE	double &	Returns fit root mean square error (RMSE).

Remarks:

Forecast time series values by using ARAR model, defined by the following relation:

X[t] =\phi _1 X[t-1] + \phi _{l1} X[t-l1] + \phi _{l2} X[t-l2] + \phi _{l3} X[t-l3] + Z[t]

Examples

#include "MtxExpr.h"
#include "Units.StatTimeSerAnalysis.h"

using namespace Dew;
using namespace Dew::Math;
using namespace Dew::Stats;
using namespace Dew::Stats::Units::StatTimeSerAnalysis;

void Example()
{
    Vector timeseries(0);
    Vector s(0);
    Vector filter(0);
    Vector phi(0);
    Vector forecasts(0);
    Vector stderrs(0);
    int l1, l2, l3, tau;
    double s2, rmse;
    timeseries.LoadFromFile("deaths.vec");
    // #1: shorten series
    ShortenFilter(timeseries, s, tau, filter, 15);
    // #2 : fit ARAR model on shortened series
    ARARFit(s, phi, l1, l2, l3, s2, 13);
    // #3: forecast 100 values by using ARAR fit parameters
    ARARForecast(timeseries, phi, filter, tau, l1, l2, l3, s.Mean(), 100, forecasts, stderrs, rmse);
}

Declared in Dew::Stats::Units::StatTimeSerAnalysis · Dew.Stats/Units.StatTimeSerAnalysis.h · Cross-compiler

void ARARForecast(TVec *Data, TVec *Phi, TVec *Filter, const int tau, const int l1, const int l2, const int l3, const double SMean, const int N, TVec *aResult, TVec *StdErrs, double &RMSE);

void ARARForecast(TVec Data, TVec Phi, TVec Filter, const int tau, const int l1, const int l2, const int l3, const double SMean, const int N, TVec aResult, TVec *StdErrs, double &RMSE);