| int __stdcall NDK_LOGIT | ( | double * | X, |
| size_t | N, | ||
| WORD | retTYpe | ||
| ) |
Computes the logit transformation, including its inverse.
- Returns
- status code of the operation
- Return values
-
NDK_SUCCESS Operation successful NDK_FAILED Operation unsuccessful. See Macros for full list.
- Parameters
[in,out] X is the univariate time series data (a one dimensional array). [in] N is the number of observations in X. [in] retTYpe is a number that determines the type of return value: 1 (or missing)=logit, 2=inverse logit.
- Remarks
- The logit link function is very commonly used for parameters that lie in the unit interval. Numerical values of theta close to 0 or 1 or out of range result in #VALUE! or #N/A.
- The logit transformation is defined as follows: \[y=\textit{Logit}(x)=\ln{\frac{x}{1-x}}\] And \[x=\textit{Logit}^{-1}(y)=\frac{e^y}{e^y+1}\] Where:
- \(x_{t}\) is the input value of the input time series at time \(t\). X must be between 0 and 1, exclusive
- \(y_{t}\) is the transformed logit value at time \(t\)
- \(\textit{Logit}^{-1}\) is the inverse logit transformation
- The logit function accepts a single value or an array of values for X.
- Requirements
-
Header SFSDK.H Library SFSDK.LIB DLL SFSDK.DLL
- Examples
| Namespace: | NumXLAPI |
| Class: | SFSDK |
| Scope: | Public |
| Lifetime: | Static |
| int NDK_LOGIT | ( | double[] | pData, |
| UIntPtr | nSize, | ||
| short | argRetType | ||
| ) |
Computes the logit transformation, including its inverse.
- Returns
- status code of the operation
- Return values
-
NDK_SUCCESS Operation successful NDK_FAILED Operation unsuccessful. See Macros for full list.
- Parameters
[in,out] pData is the univariate time series data (a one dimensional array). [in] nSize is the number of observations in pData. [in] argRetType is a number that determines the type of return value: 1 (or missing)=logit, 2=inverse logit.
- Remarks
- The logit link function is very commonly used for parameters that lie in the unit interval. Numerical values of theta close to 0 or 1 or out of range result in #VALUE! or #N/A.
- The logit transformation is defined as follows: \[y=\textit{Logit}(x)=\ln{\frac{x}{1-x}}\] And \[x=\textit{Logit}^{-1}(y)=\frac{e^y}{e^y+1}\] Where:
- \(x_{t}\) is the input value of the input time series at time \(t\). X must be between 0 and 1, exclusive
- \(y_{t}\) is the transformed logit value at time \(t\)
- \(\textit{Logit}^{-1}\) is the inverse logit transformation
- The logit function accepts a single value or an array of values for X.
- Exceptions
-
Exception Type Condition None N/A
- Requirements
-
Namespace NumXLAPI Class SFSDK Scope Public Lifetime Static Package NumXLAPI.DLL
- Examples
- References
- * John H. Aldrich, Forrest D. Nelson; Linear Probability, Logit, and Probit Models; SAGE Publications, Inc; 1st Edition(Nov 01, 1984), ISBN: 0803921330
- * 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
