NDK_ARIMA_PARAM

Returns an array of cells for the initial (non-optimal), optimal or standard errors of the model's parameters.

Return Value

a value from NDK_RETCODE enumeration for the status of the call. 

NDK_SUCCESS	operation successful
Error	Error Code

Parameters

[in]	pData	is the univariate time series data (a one dimensional array).
[in]	nSize	is the number of observations in pData.
[in,out]	mean	is the ARMA model mean (i.e. mu).
[in,out]	sigma	is the standard deviation of the model's residuals/innovations.
[in]	nIntegral	is the model's integration order.
[in,out]	phis	are the parameters of the AR(p) component model (starting with the lowest lag).
[in]	p	is the number of elements in phis (order of AR component)
[in,out]	thetas	are the parameters of the MA(q) component model (starting with the lowest lag).
[in]	q	is the number of elements in thetas (order of MA component)
[in]	retType	is a switch to select the type of value returned: 1= Quick Guess, 2=Calibrated, 3= Std. Errors Order   Description 1 Quick guess (non-optimal) of parameters values (default) 2 Calibrated (optimal) values for the model's parameters 3 Standard error of the parameters' values
[in]	maxIter	is the maximum number of iterations used to calibrate the model. If missing or less than 100, the default maximum of 100 is assumed.

Remarks

1. The underlying model is described here.
2. The time series is homogeneous or equally spaced.
3. The time series may include missing values (e.g. NaN) at either end.
4. ARIMA_PARAM returns an array for the values (or errors) of the model's parameters in the following order:
   • \(\mu\)
   • \(\phi_1,\phi_2,...,\phi_p\)
   • \(\theta_1,\theta_2,...,\theta_q\)
   • \(\sigma\)
5. The integration order argument (d) must be a positive integer.
6. The long-run mean can take any value or may be omitted, in which case a zero value is assumed.
7. The residuals/innovations standard deviation (sigma) must be greater than zero.
8. For the input argument (phi):
   • The input argument is optional and can be omitted, in which case no AR component is included.
   • The order of the parameters starts with the lowest lag.
   • The order of the AR component model is solely determined by the order of the last value in the array with a numeric value (vs. missing or error).
9. For the input argument (theta):
   • The input argument is optional and can be omitted, in which case no MA component is included.
   • The order of the parameters starts with the lowest lag.
   • The order of the MA component model is solely determined by the order of the last value in the array with a numeric value (vs. missing or error).

   Exceptions

   Exception Type	Condition
   None	N/A

   Requirements

   Namespace	NumXLAPI
   Class	SFSDK
   Scope	Public
   Lifetime	Static
   Package	NumXLAPI.DLL