NDK_AIRLINE_FORE

C/C++
.Net

int __stdcall NDK_AIRLINE_FORE	(	double *	pData,
		size_t	nSize,
		double	mean,
		double	sigma,
		WORD	S,
		double	theta,
		double	theta2,
		size_t	nStep,
		FORECAST_RETVAL_FUNC	retType,
		double	alpha,
		double *	retVal
	)

Calculates the out-of-sample forecast statistics.

Returns: status code of the operation

Return values

NDK_SUCCESS	Operation successful
NDK_FAILED	Operation unsuccessful. See Macros for full list.

Parameters

[in] pData is the univariate time series data (a one dimensional array).

[in] nSize is the number of observations in pData.

[in] mean is the model mean (i.e. mu).

[in] sigma is the standard deviation of the model's residuals/innovations.

[in] S is the length of seasonality (expressed in terms of lags, where s > 1).

[in] theta is the coefficient of first-lagged innovation (see model description).

[in] theta2 is the coefficient of s-lagged innovation (see model description).

[in] nStep is the forecast time/horizon (expressed in terms of steps beyond end of the time series).

[in]

retType

is a switch to select the type of value returned

Order	Description
1	Mean forecast value (default)
2	Forecast standard error (aka local volatility)
3	Volatility term structure
4	Lower limit of the forecast confidence interval
5	Upper limit of the forecast confidence interval

[in] alpha is the statistical significance level. If missing, a default of 5% is assumed.

[out] retVal is the calculated forecast value

Remarks

The underlying model is described here.
The time series is homogeneous or equally spaced
The time series may include missing values (e.g. NaN) at either end.
The long-run mean argument (mean) can take any value or be omitted, in which case a zero value is assumed.
The value of the residuals/innovations standard deviation (sigma) must be positive.
The season length must be greater than one.
The input argument for the non-seasonal MA parameter - theta - is optional and can be omitted, in which case no non-seasonal MA component is included.
The input argument for the seasonal MA parameter - theta2 - is optional and can be omitted, in which case no seasonal MA component is included.

Requirements

Header	SFSDK.H
Library	SFSDK.LIB
DLL	SFSDK.DLL

Examples

Namespace:	NumXLAPI
Class:	SFSDK
Scope:	Public
Lifetime:	Static

int NDK_AIRLINE_FORE	(	double[]	pData,
		UIntPtr	nSize,
		double	mean,
		double	sigma,
		short	dSeason,
		double	theta,
		double	theta2,
		UIntPtr	nStep,
		FORECAST_RETVAL_FUNC	retType,
		double	alpha,
		ref double	retVal
	)