com.imsl.test.example.stat

Class ARMAEx1

java.lang.Object

com.imsl.test.example.stat.ARMAEx1

public class ARMAEx1
extends Object

Fits an \(\text{ARMA}(2,1)\) to the Wolfer sunspot data using the method of moments.

The Wolfer Sunspot Data (Anderson 1971, p. 660) consists of the number of sunspots observed each year from 1749 through 1924. In this example, an \(\text(ARMA)(2,1)\) model is fit to a subset between the years of 1770 and 1869. Model parameter estimates are determined by the method of moments. The model \(\text{ARMA}(2, 1)\) is defined to be

$$z_t = \theta _0 + \phi _1 z_{t - 1} + \phi _2 z_{t - 2} - \theta _1 A_{t - 1} + A_t$$

where the errors \(A_t\) are independently normally distributed with mean zero and variance \(\sigma _A^2\).

See Also:

Code, Output

Constructor Summary

Constructors

Constructor and Description
ARMAEx1()

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

ARMAEx1

public ARMAEx1()

Method Detail

main

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

Throws:

Exception