NDK_CLOGLOG

int __stdcall NDK_CLOGLOG ( double *  X,
size_t  N,
WORD  retTYpe 
)

Computes the complementary log-log transformation, including its inverse.

Returns
status code of the operation
Return values
NDK_SUCCESS  Operation successful
NDK_FAILED  Operation unsuccessful. See Macros for full list.
Parameters
[in,out] X is the univariate time series data (a one dimensional array).
[in] N is the number of observations in X.
[in] retTYpe is a number that determines the type of return value: 1 (or missing)=C-log-log , 2=inverse C-log-log.
Remarks
  1. The complementary log log link function is commonly used for parameters that lie in the unit interval.
  2. The complementary log log link/transformation is defined as follows: \[ y=\textit{CLogLog}(x)=\ln\left( -\ln \left ( 1-x \right) \right) \] And \[x=\textit{CLogLog}^{-1}(y)=1 - e^{-e^{y}} \] Where:
    • \(x_{t}\) is the value of the input time series at time \(t\)
    • \(y_{t}\) is the transformed complementary log-log value at time \(t\)
    • \(\textit{ClogLog}^{-1}(y)\) is the inverse complementary log log link function
    • \(\left(x_t +\alpha \right) \gt 0\) for all t values
  3. The BOXCOX function accepts a single value or an array of values for X.
  4. The shift parameter must be large enough to make all the values of X positive.
Requirements
Header SFSDK.H
Library SFSDK.LIB
DLL SFSDK.DLL
Examples


   
Namespace:  NumXLAPI
Class:  SFSDK
Scope:  Public
Lifetime:  Static
int NDK_CLOGLOG ( double[]  pData,
UIntPtr  nSize,
short  argRetType 
)

Computes the complementary log-log transformation, including its inverse.

Returns
status code of the operation
Return values
NDK_SUCCESS  Operation successful
NDK_FAILED  Operation unsuccessful. See Macros for full list.
Parameters
[in,out] pData is the univariate time series data (a one dimensional array).
[in] nSize is the number of observations in pData.
[in] argRetType is a number that determines the type of return value: 1 (or missing)=C-log-log , 2=inverse C-log-log.
Remarks
  1. The complementary log log link function is commonly used for parameters that lie in the unit interval.
  2. The complementary log log link/transformation is defined as follows: \[ y=\textit{CLogLog}(x)=\ln\left( -\ln \left ( 1-x \right) \right) \] And \[x=\textit{CLogLog}^{-1}(y)=1 - e^{-e^{y}} \] Where:
    • \(x_{t}\) is the value of the input time series at time \(t\)
    • \(y_{t}\) is the transformed complementary log-log value at time \(t\)
    • \(\textit{ClogLog}^{-1}(y)\) is the inverse complementary log log link function
    • \(\left(x_t +\alpha \right) \gt 0\) for all t values
  3. The BOXCOX function accepts a single value or an array of values for X.
  4. The shift parameter must be large enough to make all the values of X positive.
Exceptions
Exception Type Condition
None N/A
Requirements
Namespace NumXLAPI
Class SFSDK
Scope Public
Lifetime Static
Package NumXLAPI.DLL
Examples

	
References
* Hamilton, J .D.; Time Series Analysis , Princeton University Press (1994), ISBN 0-691-04289-6
* Tsay, Ruey S.; Analysis of Financial Time Series John Wiley & SONS. (2005), ISBN 0-471-690740
* D. S.G. Pollock; Handbook of Time Series Analysis, Signal Processing, and Dynamics; Academic Press; Har/Cdr edition(Nov 17, 1999), ISBN: 125609906
* Box, Jenkins and Reisel; Time Series Analysis: Forecasting and Control; John Wiley & SONS.; 4th edition(Jun 30, 2008), ISBN: 470272848