NDK_ARMA_VALIDATE

Examines the model's parameters for stability constraints (e.g. stationary, etc.).

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]	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)

Remarks

1. The underlying model is described here.
2. NDK_ARMA_VALIDATE checks the process for stability: stationarity, invertability, and causality.
3. Using the Solver add-in in Excel, you can specify the return value of NDK_ARMA_VALIDATE as a constraint to ensure a stationary ARMA model.
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 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.
   • 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