StatTimeSerAnalysis.ARMAForecast Function

Forecast time series by using ARMA(p,q) model.

Pascal

procedure ARMAForecast(const Data: TVec; const P: TVec; const T: TVec; const Residuals: TVec; const n: integer; const mu: double; const Forecast: TVec; const fStdDev: TVec); overload;

File

StatTimeSerAnalysis

Parameters

Parameters	Description
Data	The original time series data set.
P	ARIMA Phi (AR) coefficients. Assumes P (AR model) to be without the leading 1.0.
T	ARIMA Theta (MA) coefficients.
Residuals	Residuals as returned by ARMAMLE.
n	Number of samples to forecast.
mu	This modified average value is included in to the optimization process of ARMAMLE, which returns optimal value for it.
Forecast	Results of the forecasting (beyond the last index value of Data starting at Data.Length).
fStdDev	Returns standard deviation of residuals.