void ARIMASimulate(TVec *p, TVec *t, const int d, TVec *ResInit, const int n, TVec *aResult);
Simulate the ARIMA process.
| # | Name | Type | Description |
|---|---|---|---|
| 1 | p | TVec * | stores the AR coefficients. Length of the p vector defines AR(p) order. |
| 2 | t | TVec * | stores the MA coefficients. Length of the t vector defines MA(q) order. |
| 3 | d | const int | defines how many times time series is differentiated (d parameter in ARIMA). |
| 4 | ResInit | TVec * | defines initial values for integration: r[-d+1],Dr[-d+2],...,D^(d-1)r[0]. The length of ResInit must be equal to d, otherwise an exception will be raised. |
| 5 | n | const int | defines number of points to simulate. |
| 6 | aResult | TVec * | returns ARIMA (p,d,q) time series. Size of Result vector is adjusted automatiacally. |
Remarks:
Simulate the ARIMA (p,d,q) process.
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 phi(0);
Vector theta(0);
Vector init(0);
Vector ts(0);
phi.SetIt(false, DewArray<double>{1.0});
theta.SetIt(false,DewArray<double>{-0.25});
init.SetIt(false,DewArray<double>{0.0, 0.0});
ARIMASimulate(phi,theta,2,init,100,ts);
// ts now stores 100 points from ARIMA(1,2,1) process.
}See Also: StatTimeSerAnalysis::ARMASimulate
Declared in Dew::Stats::Units::StatTimeSerAnalysis · Dew.Stats/Units.StatTimeSerAnalysis.h · Cross-compiler