NDK_FARIMA_VALIDATE

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

Returns

status code of the operation

Return values

NDK_SUCCESS	Operation successful
NDK_FAILED	Operation unsuccessful. See Macros for full list.

Parameters

[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 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)

Remarks

1. The underlying model is described here.
2. NDK_FARIMA_VALIDATE checks the FARIMA model for stability: stationarity, invertibility, and causality.
3. The integration order argument (d) must be a positive integer.
4. The long-run mean can take any value or may 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.
   • 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).

Requirements

Header	SFSDK.H
Library	SFSDK.LIB
DLL	SFSDK.DLL

Examples