NDK_SARIMA_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 model mean (i.e. mu).
[in]	sigma	is the standard deviation of the model's residuals/innovations.
[in]	nIntegral	is the non-seasonal difference order
[in]	phis	are the coefficients's values of the non-seasonal AR component
[in]	p	is the order of the non-seasonal AR component
[in]	thetas	are the coefficients's values of the non-seasonal MA component
[in]	q	is the order of the non-seasonal MA component
[in]	nSIntegral	is the seasonal difference
[in]	sPhis	are the coefficients's values of the seasonal AR component
[in]	sP	is the order of the seasonal AR component
[in]	sThetas	are the coefficients's values of the seasonal MA component
[in]	sQ	is the order of the seasonal MA component

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.
4. NDK_SARIMA_CHECK checks if \(\sigma\gt 0\) and if all the characteristic roots of the underlying ARMA model fall outside the unit circle.
5. The long-run mean argument (mean) can take any value or be omitted, in which case a zero value is assumed.
6. The residuals/innovations standard deviation (sigma) must be greater than zero.
7. For the input argument - phi (parameters of the non-seasonal AR component):
   • The input argument is optional and can be omitted, in which case no non-seasonal AR component is included.
   • The order of the parameters starts with the lowest lag.
   • The order of the non-seasonal AR component model is solely determined by the order of the last value in the array with a numeric value (vs. missing or error).
8. For the input argument - theta (parameters of the non-seasonal MA component):
   • The input argument is optional and can be omitted, in which case no non-seasonal MA component is included.
   • The order of the parameters starts with the lowest lag.
   • The order of the non-seasonal MA component model is solely determined by the order of the last value in the array with a numeric value (vs. missing or error).
9. For the input argument - sPhi (parameters of the seasonal AR component):
   • The input argument is optional and can be omitted, in which case no seasonal AR component is included.
   • The order of the parameters starts with the lowest lag.
   • The order of the seasonal AR component model is solely determined by the order of the last value in the array with a numeric value (vs. missing or error).
10. For the input argument - sTheta (parameters of the seasonal MA component):
    • The input argument is optional and can be omitted, in which case no seasonal MA component is included.
    • The order of the parameters starts with the lowest lag.
    • The order of the seasonal MA component model is solely determined by the order of the last value in the array with a numeric value (vs. missing or error).
11. The non-seasonal integration order - d - is optional and can be omitted, in which case d is assumed to be zero.
12. The seasonal integration order - sD - is optional and can be omitted, in which case sD is assumed to be zero.
13. The season length - s - is optional and can be omitted, in which case s is assumed to be zero (i.e. plain ARIMA).

Exceptions

Exception Type	Condition
None	N/A

Requirements

Namespace	NumXLAPI
Class	SFSDK
Scope	Public
Lifetime	Static
Package	NumXLAPI.DLL

Examples