NDK_ARMA_FORE

 int NDK_ARMA_FORE ( double * pData, size_t nSize, double mean, double sigma, double * phis, size_t p, double * thetas, size_t q, 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 ARMA model mean (i.e. mu).
[in] sigma  is the standard deviation of the model's residuals/innovations.
[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] 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 (FORECAST_MEAN, FORECAST_STDEV , ..)
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
1. The underlying model is described here.
2. The time series is homogeneous or equally spaced.
3. The time series may include missing values (NaN) at either end.
4. The long-run mean can take any value or be omitted, in which case a zero value is assumed.
5. The residuals/innovations standard deviation (sigma) must be greater than zero.
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.
• One or more parameters may have missing values or an error code (i.e. #NUM!, #VALUE!, etc.).
• 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.
• One or more values in the input argument can be missing or an error code (i.e. #NUM!, #VALUE!, etc.).
• 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).
Requirements
Examples



 Namespace: NumXLAPI Class: SFSDK Scope: Public Lifetime: Static
 int NDK_ARMA_FORE ( double[] pData, UIntPtr nSize, double mean, double sigma, double[] phis, UIntPtr p, double[] thetas, UIntPtr q, UIntPtr nStep, FORECAST_RETVAL_FUNC retType, double alpha, ref double retVal )

Calculates the out-of-sample forecast statistics.

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] mean  is the ARMA model mean (i.e. mu).
[in] sigma  is the standard deviation of the model's residuals/innovations.
[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] 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 (FORECAST_MEAN, FORECAST_STDEV , ..)
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
1. The underlying model is described here.
2. The time series is homogeneous or equally spaced.
3. The time series may include missing values (NaN) at either end.
4. The long-run mean can take any value or be omitted, in which case a zero value is assumed.
5. The residuals/innovations standard deviation (sigma) must be greater than zero.
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.
• One or more parameters may have missing values or an error code (i.e. #NUM!, #VALUE!, etc.).
• 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.
• One or more values in the input argument can be missing or an error code (i.e. #NUM!, #VALUE!, etc.).
• 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 SFSDK Public Static NumXLAPI.DLL
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