| 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
-
- The underlying model is described here.
- The time series is homogeneous or equally spaced
- 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
