NDK_ARIMA_SIM

Returns an array of cells for the simulated values.

Return Value

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

NDK_SUCCESS	operation successful
Error	Error Code

Parameters

[in]	mean	is the ARMA model mean (i.e. mu).
[in]	sigma	is the standard deviation of the model's residuals/innovations.
[in]	nIntegral	is the model's integration order.
[in]	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]	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]	pData	is the univariate time series data (a one dimensional array).
[in]	nSize	is the number of observations in pData.
[in]	nSeed	is an unsigned integer for setting up the random number generators
[out]	retVal	is the calculated simulation value
[in]	nSteps	is the number of future steps to simulate for.

Remarks

1. The underlying model is described here.
2. NDK_ARMA_SIM returns an array of one simulation path starting from the end of the input data.
3. The input data argument (i.e. latest observations) is optional. If omitted, an array of zeroes is assumed.
4. The time series is homogeneous or equally spaced.
5. The time series may include missing values (e.g. NaN) at either end.
6. 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).
7. 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