ARModel Class |
Implementation of autoregressive (AR) model.
http://en.wikipedia.org/wiki/Autoregression
Inheritance HierarchySystemObject
FinMath.Statistics.ForecastARModel
FinMath.Statistics.ForecastARModel
Namespace: FinMath.Statistics.Forecast
Assembly: FinMath (in FinMath.dll) Version: 2.4.7-0a995bd0ea1854c2c868ec3f8dae606c5777e170
SyntaxC#
[SerializableAttribute] public class ARModel
The ARModel type exposes the following members.
Constructors| Name | Description | |
|---|---|---|
 | ARModel |
Creates an ARModel object with specified order,
infinite autoupdate period and infinite maximum observations number.
|
Properties| Name | Description | |
|---|---|---|
 | Coefficients |
Estimated coefficients of AR model.
|
| Forecast |
Expectation of the next value.
|
| MaximumObservationsNumber |
Maximum number of values to be considered for estimation of model coefficients.
Exceeding this limit implies forgetting corresponding number of the oldest values.
|
| MeanSquaredError |
The prediction variance: an estimate of the portion of the variance of the time series
that is not explained by the autoregressive model.
|
| Method |
Method used to fit the model.
|
| ObservationsNumber |
Actual number of observations contained in the object.
|
| Status |
The result of the last estimation.
|
Methods| Name | Description | |
|---|---|---|
| AddObservation |
Adds new value to be considered.
|
| AddObservations(Double) |
Adds new values to be considered.
|
| AddObservations(Vector) |
Adds new values to be considered.
|
| Equals | Determines whether the specified object is equal to the current object. (Inherited from Object.) |
| Estimate |
Enforces estimation of coefficients.
|
| ForecastMultiple(Int32) |
Computes expectations of several following values.
|
| ForecastMultiple(Vector) |
Computes expectations of several following values.
|
| ForgetObservations |
Excludes specified number of the oldest values from consideration.
|
| GetHashCode | Serves as the default hash function. (Inherited from Object.) |
| GetObservation |
Gives the provided observation.
|
| GetObservations(Int32) |
Gives specified number of the latest provided observations.
Observations are 0-based where the latest has index 0.
|
| GetObservations(Vector) |
Fills specified vector by the latest provided observations.
Observations are 0-based where the latest has index 0.
|
| GetResidual |
Gives the difference between the observed value and the estimated function value.
http://en.wikipedia.org/wiki/Errors_and_residuals_in_statistics
|
| GetResiduals(Int32) |
Gives differences between the observed values and the estimated function values
for specified number of the latest observations.
http://en.wikipedia.org/wiki/Errors_and_residuals_in_statistics
|
| GetResiduals(Vector) |
Fills specified vector by differences between the observed values and the estimated function values
for latest observations.
http://en.wikipedia.org/wiki/Errors_and_residuals_in_statistics
|
| GetType | Gets the Type of the current instance. (Inherited from Object.) |
| ToString | Returns a string that represents the current object. (Inherited from Object.) |
See Also