NDK_ARMA_PARAM

int __stdcall NDK_ARMA_PARAM ( double *  pData,
size_t  nSize,
double *  mean,
double *  sigma,
double *  phis,
size_t  p,
double *  thetas,
size_t  q,
MODEL_RETVAL_FUNC  retType,
size_t  maxIter 
)

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

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,out]  mean  is the ARMA model mean (i.e. mu).
[in,out]  sigma  is the standard deviation of the model's residuals/innovations.
[in,out] phis  are the parameters of the AR(p) component model (starting with the lowest lag).
[in] 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] 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. #N/A) at either end.
  4. ARMA_PARAM returns an array for the values (or errors) of the model's parameters in the following order:
    • \(\mu\)
    • \(\phi_1,\phi_2,...,\phi_p\)
    • \(\theta_1,\theta_2,...,\theta_q\)
    • \(\sigma\)
Requirements
Header SFSDK.H
Library SFSDK.LIB
DLL SFSDK.DLL
Examples
   
Namespace:  NumXLAPI
Class:  SFSDK
Scope:  Public
Lifetime:  Static
int NDK_ARMA_PARAM ( double[]  pData,
UIntPtr  nSize,
ref double  mean,
ref double  sigma,
double[]  phis,
UIntPtr  p,
double[]  thetas,
UIntPtr  q,
MODEL_RETVAL_FUNC  retType,
UIntPtr  maxIter 
)

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,out] phis  are the parameters of the AR(p) component model (starting with the lowest lag).
[in] 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] 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. #N/A) at either end.
  4. ARMA_PARAM returns an array for the values (or errors) of the model's parameters in the following order:
    • \(\mu\)
    • \(\phi_1,\phi_2,...,\phi_p\)
    • \(\theta_1,\theta_2,...,\theta_q\)
    • \(\sigma\)
Exceptions
Exception Type Condition
None N/A
Requirements
Namespace NumXLAPI
Class SFSDK
Scope Public
Lifetime Static
Package 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