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Re: ARIMA forecast

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#2201
haksunli
Keymaster

The “Innovation Algorithm” in SuanShu allows you to make a 1-step ahead prediction for any stationary time series model if you have the auto-covariance function. Using it recursively allows you to make an h-step ahead prediction.

The class “AutoCovariance” allows you to compute the auto-covariance function for any ARMA process.

Combining the above allows you to do ARMA forecast.

In the upcoming release, we will make it easier to do ARMA forecast without going thru the above steps. There is an easier way/simplification when it comes to ARMA forecast.