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Question about ARMA in new C# version of Suanshu

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  • #1938
    gawrrell
    Member

    Hello,

    I saw that you have released a free version of Suanshu for .NET,
    and decided to try it.

    I am trying to use the ARMAModel class, and I have some difficulty understanding
    how to initialize it (using the constructor).

    The one I would like to use is :

    ARMAModel(double[] AR, double[] MA)

    In other libraries I saw a similar constructor :

    ARMA(int ar, int ma, double[] data),

    Could you please clarify what is the meaning
    of having AR & MA as a vector of doubles instead
    of single integers.

    Could you please also clarify how can I (for example)
    initialize an ARMA(1,1) model, get the AIC of the model and
    the residual series.

    Thank you,
    Itay

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