com.imsl.test.example.stat

Class ARMAEstimateMissingEx1

java.lang.Object

com.imsl.test.example.stat.ARMAEstimateMissingEx1

public class ARMAEstimateMissingEx1
extends Object

Estimates missing values for a generated \( \text{AR}(1) \) series.

The data in this example was artificially generated using an autoregressive time series with a lag of \(1\), i.e., an \(\text{AR}(1)\). The constant term in the model was set to zero and \(-0.7\) was used for the autoregressive coefficient. The data were generated from a random Gaussian distribution with a mean of zero and an innovation variance of \(0.51\). This series is stationary with \(\text{var}(Y) = 1.0\).

Two hundred values were generated. For this example, six values at times \(t=\{130, 140, 141, 160, 175, 176\}\) are removed and designated as missing. ARMAEstimateMissing is used to estimate these missing values using each of its estimation methods. The missing value estimates are compared to the actual values generated in the full series.

As expected, the \(\text{AR}(1)\) method produces the best missing value estimates in this example, closely followed by the \(\text{AR}(p)\) method.

See Also:

Code, Output

Constructor Summary

Constructors

Constructor and Description
ARMAEstimateMissingEx1()

Method Summary

Modifier and Type	Method and Description
static void	main(String[] args)

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

ARMAEstimateMissingEx1

public ARMAEstimateMissingEx1()

Method Detail

main

public static void main(String[] args)
                 throws Exception

Throws:

Exception