com.imsl.test.example.stat

Class ARMAEx2

java.lang.Object

com.imsl.test.example.stat.ARMAEx2

public class ARMAEx2
extends Object

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

The data for this example are the same as that for ARMAEx1. Preliminary method of moments estimates are computed by default, and the method of least squares is used to find the final estimates. Note that at the end of the output, a warning message appears. In most cases, this warning message can be ignored. There are three general reasons this warning can occur:

1. Convergence is declared using the criterion based on tolerance, but the gradient of the residual sum-of-squares function is nonzero. This occurs in this example. Either the message can be ignored or tolerance can be reduced to allow more iterations and a slightly more accurate solution.
2. Convergence is declared based on the fact that a very small step was taken, but the gradient of the residual sum-of-squares function was nonzero. This message can usually be ignored. Sometimes, however, the algorithm is making very slow progress and is not near a minimum.
3. Convergence is not declared after 100 iterations.

Trying a smaller value for tolerance can help determine what caused the error message.

See Also:

Code, Output

Constructor Summary

Constructors

Constructor and Description
ARMAEx2()

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

ARMAEx2

public ARMAEx2()

Method Detail

main

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

Throws:

Exception