Fit and then forecast time series values by using ARAR algorithm. Before applying the ARAR algorithm, use the shortening filter on original series.
Uses MtxExpr, StatTimeSerAnalysis, Math387; procedure Example; var timeseries,s,filter,phi: Vector; forecasts,stderrs: Vector; l1,l2,l3,tau: Integer; s2,rmse: double; begin timeseries.LoadFromFile('deaths.vec'); // #1: shorten series ShortenFilter(timeSeries,s,tau,Filter); // #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); end;
#include "MtxExpr.hpp" #include "StatTimeSerAnalysis.hpp" void __fastcall Example(); { sVector timeSeries,s,filter,phi,forecasts,stderrs; int l1,l2,l3,tau; double s2, rmse; timeSeries.LoadFromFile("deaths.vec"); // #1: shorten series ShortenFilter(timeSeries,s,tau,filter); // #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); }
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