com.imsl.test.example.stat

Class ARMAEx3

java.lang.Object

com.imsl.test.example.stat.ARMAEx3

public class ARMAEx3
extends Object

Fits an \(\text{ARMA}(2,1)\) to the Wolfer sunspot data and produces a forecast table.

Consider the Wolfer Sunspot Data (Anderson 1971, p. 660) consisting of the number of sunspots observed each year from 1749 through 1924. The data set for this example consists of the number of sunspots observed from 1770 through 1869. An \(\text{ARMA}(2,1)\) model is fitted to these data using the Method of Moments. With backward_origin=3, the forecast method is used to obtain forecasts starting from 1866, 1867, 1868, and 1869, respectively. Note that the values in the first row of the matrix returned by this method are the one-step ahead forecasts for 1867, 1868, ..., 1870. The values in the second row are the two-step ahead forecasts for 1868, 1869, ..., 1871, etc.

Method getForecast is used to compute the one-step ahead forecasts setting backward_origin = 10. This obtains the one-step ahead forecasts for the last 10 observations in the series, i.e. years 1860-1869, plus the next 5 years. The upper 90% confidence limits are computed for these forecasts using the getDeviations method.

See Also:

Code, Output

Constructor Summary

Constructors

Constructor and Description
ARMAEx3()

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

ARMAEx3

public ARMAEx3()

Method Detail

main

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

Throws:

Exception