com.imsl.test.example.stat

Class ARMAOutlierIdentificationEx1

java.lang.Object

com.imsl.test.example.stat.ARMAOutlierIdentificationEx1

public class ARMAOutlierIdentificationEx1
extends Object

Performs outlier identification and simultaneously fits an $\text{ARIMA}(2,2,0)$ to the Canadian Lynx dataset.

The data is a time series of the estimated population of Canadian lynx. Class ARMAOutlierIdentification is used to fit an $\text{ARIMA}(2,2,0)$ model of the form $(1-B)(1-\phi_1B-\phi_2B^2)Y_t=a_t,\, t=1,2,\ldots,144,\,$ where $\{a_t\}$ is Gaussian white noise. The compute method determines the estimates $\hat{\phi}_1=0.10682$ and $\hat{\phi}_2=-0.19666$ and identifies a level shift (LS) type outlier at time point $t=16$.

See Also:

Code, Output

Constructor Summary

Constructors

Constructor and Description
ARMAOutlierIdentificationEx1()

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

ARMAOutlierIdentificationEx1

public ARMAOutlierIdentificationEx1()

Method Detail

main

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

Throws:

Exception