|int __stdcall NDK_SARIMAX_FITTED||(||double *||pData,|
Returns an array of cells for the fitted values (i.e. mean, volatility and residuals)
- status code of the operation
- Return values
NDK_SUCCESS Operation successful NDK_FAILED Operation unsuccessful. See Macros for full list.
[in,out] pData is the univariate time series data (a one dimensional array). [in] pFactors is the exogneous factors time series data (each column is a separate factor, and each row is an observation). [in] nSize is the number of observations. [in] nFactors is the number of exognous factors [in] fBetas is the weights or loading of the exogneous factors [in] mean is the ARIMA/SARIMA model's long-run mean/trend (i.e. mu). If missing (i.e. NaN), then it is assumed zero. [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] nSPeriod is the number of observations per one period (e.g. 12=Annual, 4=Quarter) [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 [in] retType is a switch to select a output type Order Description 1 Fitted mean (default) 2 Fitted standard deviation or volatility 3 Raw (non-standardized) residuals 4 Standardized residuals
- 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.
Header SFSDK.H Library SFSDK.LIB DLL SFSDK.DLL