NDK_AIRLINE_GOF

C/C++
.Net

int __stdcall NDK_AIRLINE_GOF	(	double *	pData,
		size_t	nSize,
		double	mean,
		double	sigma,
		WORD	S,
		double	theta,
		double	theta2,
		GOODNESS_OF_FIT_FUNC	retType,
		double *	retVal
	)

Computes the log-likelihood (LLF), Akaike Information Criterion (AIC) or other goodness of fit function of the AirLine model.

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 ( \(\sigma\)) 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 ( \(\theta\))(see model description).

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

[in]

retType

is a switch to select a fitness measure

Order	Description
1	Log-Likelihood Function (LLF) (default)
2	Akaike Information Criterion (AIC)
3	Schwarz/Bayesian Information Criterion (SIC/BIC)
4	Hannan-Quinn information criterion (HQC)

[out] retVal is the calculated value of the goodness of fit.

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 airline model with order \(s\) has 4 parameters: \(\mu\,,\sigma\,\,,\theta\,,\Theta\)
The Airline model is a special case of multiplicative seasonal ARIMA model, and it assumes independent and normally distributed residuals with constant variance.

Requirements

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

Examples

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

int NDK_AIRLINE_GOF	(	double[]	pData,
		UIntPtr	nSize,
		double	mean,
		double	sigma,
		short	dSeason,
		double	theta,
		double	theta2,
		GOODNESS_OF_FIT_FUNC	retType,
		ref double	retVal
	)

Computes the log-likelihood ((LLF), Akaike Information Criterion (AIC) or other goodness of fit function of the AirLine model.

Returns: status code of the operation