package com.imsl.test.example.stat;

import com.imsl.stat.*;
import com.imsl.math.PrintMatrix;

/**
 * <p>
 * Fits an \(\text{ARMA}(2,1)\) to the Wolfer sunspot data using
 * the method of moments.  </p>
 * <p>
 * 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</p>
 * <p>
 * $$z_t = \theta _0 + \phi _1 z_{t - 1} + \phi _2 z_{t - 2} - \theta _1 A_{t -
 * 1} + A_t$$</p>
 * <p>
 * where the errors \(A_t\) are independently normally distributed with mean
 * zero and variance \(\sigma _A^2\).
 * </p>
 *
 * @see <a href="ARMAEx1.java">Code</a>
 * @see <a href="doc-files/ARMAEx1.out">Output</a>
 */
public class ARMAEx1 {

    public static void main(String args[]) throws Exception {
        double[] z = {
            100.8, 81.6, 66.5, 34.8, 30.6, 7, 19.8, 92.5,
            154.4, 125.9, 84.8, 68.1, 38.5, 22.8, 10.2, 24.1, 82.9,
            132, 130.9, 118.1, 89.9, 66.6, 60, 46.9, 41, 21.3, 16,
            6.4, 4.1, 6.8, 14.5, 34, 45, 43.1, 47.5, 42.2, 28.1, 10.1,
            8.1, 2.5, 0, 1.4, 5, 12.2, 13.9, 35.4, 45.8, 41.1, 30.4,
            23.9, 15.7, 6.6, 4, 1.8, 8.5, 16.6, 36.3, 49.7, 62.5,
            67, 71, 47.8, 27.5, 8.5, 13.2, 56.9, 121.5, 138.3, 103.2,
            85.8, 63.2, 36.8, 24.2, 10.7, 15, 40.1, 61.5, 98.5,
            124.3, 95.9, 66.5, 64.5, 54.2, 39, 20.6, 6.7, 4.3, 22.8,
            54.8, 93.8, 95.7, 77.2, 59.1, 44, 47, 30.5, 16.3, 7.3,
            37.3, 73.9
        };

        ARMA arma = new ARMA(2, 1, z);
        arma.compute();

        new PrintMatrix("AR estimates are:  ").print(arma.getAR());
        System.out.println();
        new PrintMatrix("MA estimate is:  ").print(arma.getMA());
    }
}