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ARIMA forecast

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  • #1931

    Hi,

    I have an eqully spaced N-length time series and i wanna estimate N+1. value by fitting an ARIMA model. I’ve used the code recommended by ryu. I’ve fitted a model but i only have ARMA model parameters and i don’t know how to estimate the next term. I’m new with Suanshu and any help or advise will be appreciated.

    SimpleTimeSeries ts = new SimpleTimeSeries(new double[]{0.1, 0.2, 0.3});
    ConditionalSumOfSquares instance = new ConditionalSumOfSquares(ts, 1, 1, 1);
    ARMAModel model = instance.getFittedARMA();

    #2208

    Thanks for previous responses, they helped me a lot. I’ve used ConditionalSumOfSquares for fitting an ARIMA model and utilized ARMAForecastOneStep for forecasting. Now, i need to know the complexity (O(N) etc) of modelling and forecast operations. I can guess about the forecasting phase but i have no idea how ConditionalSumOfSquares.getARMA model works and what’s the complexity? The complexity or any information (about how it works) to calculate the complexity of model fitting is appreciated. Thanks in advance.

    #2209
    Ryu
    Member

    [tt:25kje8dt]ConditionalSumOfSquares[/tt:25kje8dt] does an MLE.

    #2210

    Do you know how the error of ARIMA model is computed? What is the equation of model error?

    #2211
    Ryu
    Member

    The residuals are the difference between the observed and fitted values.

    #5604
    dayyoung0324
    Member

    Is it possible to share the example jave file, LinearTimeSeries.java, again? (http://numericalmethod.com/trac/numericalmethod/browser/public/Examples/src/com/numericalmethod/suanshu/examples/LinearTimeSeries.java) Previous shared examples look like being removed.

    #5610
    Ryu
    Member
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