FARIMA Model

Fractional ARIMA Model functions. More...

Functions
int __stdcall	NDK_FARIMA_GOF (double *pData, size_t nSize, double mean, double sigma, double nIntegral, double *phis, size_t p, double *thetas, size_t q, GOODNESS_OF_FIT_FUNC retType, double *retVal)
int __stdcall	NDK_FARIMA_RESID (double *pData, size_t nSize, double mean, double sigma, double nIntegral, double *phis, size_t p, double *thetas, size_t q, WORD retType)
int __stdcall	NDK_FARIMA_PARAM (double *pData, size_t nSize, double *mean, double *sigma, double nIntegral, double *phis, size_t p, double *thetas, size_t q, MODEL_RETVAL_FUNC retType, size_t maxIter)
int __stdcall	NDK_FARIMA_SIM (double *pData, size_t nSize, double mean, double sigma, double nIntegral, double *phis, size_t p, double *thetas, size_t q, size_t nStep, size_t nSeed, double *retVal)
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, FORECAST_RETVAL_FUNC retType, double alpha, double *retVal)
int __stdcall	NDK_FARIMA_FITTED (double *pData, size_t nSize, double mean, double sigma, double nIntegral, double *phis, size_t p, double *thetas, size_t q, FIT_RETVAL_FUNC retType)

Detailed Description

Fractional ARIMA Model functions

Function Documentation

NDK_FARIMA_FITTED()

int __stdcall NDK_FARIMA_FITTED	(	double *	pData,
		size_t	nSize,
		double	mean,
		double	sigma,
		double	nIntegral,
		double *	phis,
		size_t	p,
		double *	thetas,
		size_t	q,
		FIT_RETVAL_FUNC	retType )

Returns an array of cells for the fitted values (i.e. mean, volatility and residuals)

Parameters

[in,out]	pData	(Required) is the univariate time series data (a one dimensional array).
[in]	nSize	(Required) is the number of observations in pData.
[in]	mean	(Required) is the ARMA model mean (i.e. mu).
[in]	sigma	(Required) is the standard deviation of the model's residuals/innovations..
[in]	nIntegral	(Required) is the model's integration (fractional) order.
[in]	phis	(Required) are the parameters of the AR(p) component model (starting with the lowest lag).
[in]	p	(Required) is the number of elements in phis (order of AR component).
[in]	thetas	(Required) are the parameters of the MA(q) component model (starting with the lowest lag).
[in]	q	(Required) is the number of elements in thetas (order of MA component).
[in]	retType	(Required) is a switch to select a output type ( see FIT_RETVAL_FUNC).

Returns

status code of the function call: zero = success, positive = success with a warning, and negative = error occurred.

Return values

NDK_SUCCESS	Operation successful
NDK_FAILED	operation is unsuccessful ( )

See also

NDK_FARIMA_GOF(), NDK_FARIMA_RESID(), NDK_FARIMA_PARAM(), NDK_FARIMA_FORE(), NDK_FARIMA_VALIDATE()

NDK_FARIMA_FORE()

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,
		FORECAST_RETVAL_FUNC	retType,
		double	alpha,
		double *	retVal )

Calculates the out-of-sample forecast statistics.

Parameters

[in]	pData	(Required) is the univariate time series data (a one dimensional array).
[in]	nSize	(Required) is the number of observations in pData.
[in]	mean	(Required) is the ARMA model mean (i.e. mu).
[in]	sigma	(Required) is the standard deviation of the model's residuals/innovations..
[in]	nIntegral	(Required) is the model's integration (fractional) order.
[in]	phis	(Required) are the parameters of the AR(p) component model (starting with the lowest lag).
[in]	p	(Required) is the number of elements in phis (order of AR component).
[in]	thetas	(Required) are the parameters of the MA(q) component model (starting with the lowest lag).
[in]	q	(Required) is the number of elements in thetas (order of MA component).
[in]	nStep	(Required) is the forecast time/horizon (expressed in terms of steps beyond end of the time series).
[in]	retType	(Required) is a switch to select the type of value returned (see FORECAST_RETVAL_FUNC).
[in]	alpha	(Required) is the statistical significance level. If missing, a default of 5% is assumed.
[out]	retVal	(Required) is the calculated forecast value.

Returns

status code of the function call: zero = success, positive = success with a warning, and negative = error occurred.

Return values

NDK_SUCCESS	Operation successful
NDK_FAILED	operation is unsuccessful ( )

See also

NDK_FARIMA_GOF(), NDK_FARIMA_RESID(), NDK_FARIMA_PARAM(), NDK_FARIMA_FITTED(), NDK_FARIMA_VALIDATE()

NDK_FARIMA_GOF()

int __stdcall NDK_FARIMA_GOF	(	double *	pData,
		size_t	nSize,
		double	mean,
		double	sigma,
		double	nIntegral,
		double *	phis,
		size_t	p,
		double *	thetas,
		size_t	q,
		GOODNESS_OF_FIT_FUNC	retType,
		double *	retVal )

Computes the log-likelihood ((LLF), Akaike Information Criterion (AIC) or other goodness of fit function of the FARIMA model.

Parameters

[in]	pData	(Required) is the univariate time series data (a one dimensional array).
[in]	nSize	(Required) is the number of observations in pData.
[in]	mean	(Required) is the ARMA model mean (i.e. mu).
[in]	sigma	(Required) is the standard deviation of the model's residuals/innovations..
[in]	nIntegral	(Required) is the model's integration (fractional) order.
[in]	phis	(Required) are the parameters of the AR(p) component model (starting with the lowest lag).
[in]	p	(Required) is the number of elements in phis (order of AR component).
[in]	thetas	(Required) are the parameters of the MA(q) component model (starting with the lowest lag).
[in]	q	(Required) is the number of elements in thetas (order of MA component).
[in]	retType	(Required) is a switch to select a fitness measure ( see GOODNESS_OF_FIT_FUNC).
[out]	retVal	(Required) is the calculated GOF return value.

Returns

status code of the operation

Return values

NDK_SUCCESS	Operation successful
NDK_FAILED	operation is unsuccessful ( )

See also

NDK_AIRLINE_RESID(), NDK_AIRLINE_PARAM(), NDK_AIRLINE_FORE(), NDK_AIRLINE_FITTED(), NDK_AIRLINE_VALIDATE()

NDK_FARIMA_PARAM()

int __stdcall NDK_FARIMA_PARAM	(	double *	pData,
		size_t	nSize,
		double *	mean,
		double *	sigma,
		double	nIntegral,
		double *	phis,
		size_t	p,
		double *	thetas,
		size_t	q,
		MODEL_RETVAL_FUNC	retType,
		size_t	maxIter )

Returns the initial (non-optimal), optimal or standard errors of the model's parameters.

Parameters

[in,out]	pData	(Required) is the univariate time series data (a one dimensional array).
[in]	nSize	(Required) is the number of observations in pData.
[in,out]	mean	(Required) is the ARMA model mean (i.e. mu).
[in,out]	sigma	(Required) is the standard deviation of the model's residuals/innovations..
[in]	nIntegral	(Required) is the model's integration (fractional) order.
[in,out]	phis	(Required) are the parameters of the AR(p) component model (starting with the lowest lag).
[in]	p	(Required) is the number of elements in phis (order of AR component).
[in,out]	thetas	(Required) are the parameters of the MA(q) component model (starting with the lowest lag).
[in]	q	(Required) is the number of elements in thetas (order of MA component).
[in]	retType	(Required) is a switch to select the type of value returned: 1= Quick Guess, 2=Calibrated, 3= Std. Errors ( see MODEL_RETVAL_FUNC).
[in]	maxIter	(Required) is the maximum number of iterations used to calibrate the model. If missing or less than 100, the default maximum of 100 is assumed.

Returns

status code of the function call: zero = success, positive = success with a warning, and negative = error occurred.

Return values

NDK_SUCCESS	Operation successful
NDK_FAILED	operation is unsuccessful ( )

See also

NDK_AIRLINE_GOF(), NDK_AIRLINE_RESID(), NDK_AIRLINE_FORE(), NDK_AIRLINE_FITTED(), NDK_AIRLINE_VALIDATE()

NDK_FARIMA_RESID()

int __stdcall NDK_FARIMA_RESID	(	double *	pData,
		size_t	nSize,
		double	mean,
		double	sigma,
		double	nIntegral,
		double *	phis,
		size_t	p,
		double *	thetas,
		size_t	q,
		WORD	retType )

Returns the standardized residuals of a given FARIMA model

Parameters

[in,out]	pData	(Required) is the univariate time series data (a one dimensional array).
[in]	nSize	(Required) is the number of observations in pData.
[in]	mean	(Required) is the ARMA model mean (i.e. mu).
[in]	sigma	(Required) is the standard deviation of the model's residuals/innovations..
[in]	nIntegral	(Required) is the model's integration (fractional) order.
[in]	phis	(Required) are the parameters of the AR(p) component model (starting with the lowest lag).
[in]	p	(Required) is the number of elements in phis (order of AR component).
[in]	thetas	(Required) are the parameters of the MA(q) component model (starting with the lowest lag).
[in]	q	(Required) is the number of elements in thetas (order of MA component).
[in]	retType	(Required) is a switch to select a residuals-type:raw or standardized. see RESID_RETVAL_FUNC

Returns

status code of the operation

Return values

NDK_SUCCESS	Operation successful
NDK_FAILED	operation is unsuccessful ( )

See also

NDK_AIRLINE_GOF(), NDK_AIRLINE_PARAM(), NDK_AIRLINE_FORE(), NDK_AIRLINE_FITTED(), NDK_AIRLINE_VALIDATE()

NDK_FARIMA_SIM()

int __stdcall NDK_FARIMA_SIM	(	double *	pData,
		size_t	nSize,
		double	mean,
		double	sigma,
		double	nIntegral,
		double *	phis,
		size_t	p,
		double *	thetas,
		size_t	q,
		size_t	nStep,
		size_t	nSeed,
		double *	retVal )

Returns a simulated data series the underlying FARIMA process.

Parameters

[in]	pData	(Required) is the univariate time series data (a one dimensional array).
[in]	nSize	(Required) is the number of observations in pData.
[in]	mean	(Required) is the ARMA model mean (i.e. mu).
[in]	sigma	(Required) is the standard deviation of the model's residuals/innovations..
[in]	nIntegral	(Required) is the model's integration (fractional) order.
[in]	phis	(Required) are the parameters of the AR(p) component model (starting with the lowest lag).
[in]	p	(Required) is the number of elements in phis (order of AR component).
[in]	thetas	(Required) are the parameters of the MA(q) component model (starting with the lowest lag).
[in]	q	(Required) is the number of elements in thetas (order of MA component).
[in]	nStep	(Required) is the number of future steps to simulate for.
[in]	nSeed	(Required) is an unsigned integer for setting up the random number generators.
[out]	retVal	(Required) is the calculated simulation value.

Returns

status code of the function call: zero = success, positive = success with a warning, and negative = error occurred.

Return values

NDK_SUCCESS	Operation successful
NDK_FAILED	operation is unsuccessful ( )

See also

NDK_FARIMA_GOF(), NDK_AIRLINE_RESID(), NDK_AIRLINE_FORE(), NDK_AIRLINE_FITTED(), NDK_AIRLINE_VALIDATE()