NDK_FARIMA_FORE

int __stdcall NDK_FARIMA_FORE ( double *  pData,
size_t  nSize,
double  mean,
double  sigma,
double  nIntegral,
double *  phis,
size_t  p,
double *  thetas,
size_t  q,
size_t  nStep,
WORD  retType,
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] 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] 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
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 (e.g. NaN) at either end.
Requirements
Header SFSDK.H
Library SFSDK.LIB
DLL SFSDK.DLL
Examples


   
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