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object ARIMA

Companion object for class ARIMA. Includes features related to differencing and automated order selection.

See also

www.jstatsoft.org/article/view/v027i03/v27i03.pdf

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  6. def difference(y: VectoD, d: Int): VectoD

    Return the 'd'th difference of the time-series for 'd' in {0, 1, 2, 3}.

    Return the 'd'th difference of the time-series for 'd' in {0, 1, 2, 3}. A new vector is returned even when there is no difference taken ('d = 0'), to ensure the original is preserved.

    y

    the original time-series to be differenced

    d

    the order of simple differencing

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  17. def transformBack(yp: VectoD, y: VectoD, d: Int): VectoD

    Transform the fitted values on the training data of a differenced time series back to the original scale.

    Transform the fitted values on the training data of a differenced time series back to the original scale. Undo trend differencing only.

    yp

    the vector of predicted/fitted values

    y

    the original time-series vector

    d

    the order of simple differencing

    See also

    stats.stackexchange.com/questions/32634/difference-time-series-before-arima-or-within-arima

  18. def transformBackF(yf: VectoD, y: VectoD, d: Int, t: Int): VectoD

    Transform the forecast values of a differenced time series back to the original scale.

    Transform the forecast values of a differenced time series back to the original scale.

    yf

    the vector of forecasted values

    y

    the original time series

    d

    the order of simple differencing

    t

    the time point being forecasted (@see the 'forecast' method)

    See also

    stats.stackexchange.com/questions/32634/difference-time-series-before-arima-or-within-arima

  19. def transformBack_allH(ypa: MatriD, y: VectoD, d: Int): MatriD

    Transform the forecasted values of a differenced time series back to the original for all horizons scale.

    Transform the forecasted values of a differenced time series back to the original for all horizons scale.

    ypa

    the matrix of all multi-horizon forecasted values

    y

    the original time-series vector

    d

    the order of simple differencing

    See also

    stats.stackexchange.com/questions/32634/difference-time-series-before-arima-or-within-arima

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