void ARMAForecast(TVec *Data, TVec *P, TVec *T, TVec *Residuals, const int n, const double mu, TVec *Forecast, TVec *fStdDev);
Forecast time series by using ARMA(p,q) model.
| # | Name | Type | Description |
|---|---|---|---|
| 1 | Data | TVec * | The original time series data set. |
| 2 | P | TVec * | ARIMA Phi (AR) coefficients. Assumes P (AR model) to be without the leading 1.0. |
| 3 | T | TVec * | ARIMA Theta (MA) coefficients. |
| 4 | Residuals | TVec * | Residuals as returned by ARMAMLE. |
| 5 | n | const int | Number of samples to forecast. |
| 6 | mu | const double | This modified average value is included in to the optimization process of ARMAMLE, which returns optimal value for it. |
| 7 | Forecast | TVec * | Results of the forecasting (beyond the last index value of Data starting at Data.Length). |
| 8 | fStdDev | TVec * | Returns standard deviation of residuals. |
Declared in Dew::Stats::Units::StatTimeSerAnalysis · Dew.Stats/Units.StatTimeSerAnalysis.h · Cross-compiler