ARMAMaxLikelihood (JMSL Numerical Library)

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com.imsl.stat
Class ARMAMaxLikelihood

java.lang.Object
  com.imsl.stat.ARMAMaxLikelihood

All Implemented Interfaces:: Serializable

public class ARMAMaxLikelihood
extends Object
implements Serializable
extends Object
implements Serializable

Computes maximum likelihood estimates of parameters for an ARMA model with p and q autoregressive and moving average terms respectively.

ARMAMaxLikelihood computes estimates of parameters for a nonseasonal ARMA model given a sample of observations, , for where z.length. The class is derived from the maximum likelihood estimation algorithm described by Akaike, Kitagawa, Arahata and Tada (1979), and the XSARMA routine published in the TIMSAC-78 Library.

The stationary time series with mean can be represented by the nonseasonal autoregressive moving average (ARMA) model by the following relationship:

${phi}(B)(W_t-mu)=theta(B)a_t$

where

B is the backward shift operator defined by $B^kW_t=W_{t-k}rm{,}$

$phi(B)=1-{phi_1}B-{phi_2}{B^2}-ldots-{phi_p}{B^p}, ~ p ge 0rm{.}$

and

$theta(B)=1-{theta_1}B-{theta_2}{B^2}-ldots-{theta_q}{B^q}, ~ q ge 0rm{.}$

The ARMAMaxLikelihood class estimates the AR coefficients

and the MA coefficients

using maximum likelihood estimation.

ARMAMaxLikelihood checks the initial estimates for both the autoregressive and moving average coefficients to ensure that they represent a stationary and invertible series respectively.

${phi_1},{phi_2},ldots,{phi_p}$

are the initial estimates for a stationary series then all (complex) roots of the following polynomial will fall outside the unit circle:

$1-{phi_1}z-{phi_2}{z^2}-ldots-{phi_p}z^prm{.}$

${theta_1},{theta_2},ldots,{theta_p}$

are initial estimates for an invertible series then all (complex) roots of the polynomial

$1-{theta_1}z-{theta_2}{z^2}-ldots-{theta_q}z^q$

will fall outside the unit circle.

By default, the order of the lags for the autoregressive terms is and for the moving average terms. However, this cannot be overridden.

Initial values for the AR and MA coefficients can be supplied via the setAR and setMA methods. Otherwise, initial estimates are computed internally by the method of moments. The class computes the roots of the associated polynomials. If the AR estimates represent a nonstationary series, ARMAMaxLikelihood issues a warning message and replaces the intial AR estimates with initial values that are stationary. If the MA estimates represent a noninvertible series, a terminal error is issued and new initial values must be sought.

ARMAMaxLikelihood also validates the final estimates of the AR coefficients to ensure that they too represent a stationary series. This is done to guard against the possibility that the internal log-likelihood optimizer converged to a nonstationary solution. If nonstationary estimates are encountered, a fatal error message is issued.

For model selection, the ARMA model with the minimum value for AIC might be preferred, , where L is the value of the maximum likelihood function evaluated at the parameter estimates.

ARMAMaxLikelihood can also handle white noise processes, i.e. processes.

The Java Logging API can be used to trace the execution of ARMAMaxLikelihood. The name of this logger is com.imsl.stat.ARMAMaxLikelihood. Accumulated levels of detail correspond to Java's FINE, FINER, and FINEST logging levels with FINE yielding the smallest amount of information and FINEST yielding the most. The levels of output yield the following:

Level	Output
`FINE`	A message on entering and exiting method `compute`.
`FINER`	All of the messages in `FINE`, a message entering and exiting the method `compute`, plus the final computations.
`FINEST`	All of the messages in `FINER`, and a table of the computed weights and their gradient values.

See Also:: Example, Serialized Form

Nested Class Summary
`static class`	`ARMAMaxLikelihood.InitialMAException` The initial values for the moving average parameters are not invertible.
`static class`	`ARMAMaxLikelihood.NonInvertibleException` The solution is noninvertible.
`static class`	`ARMAMaxLikelihood.NonStationaryException` The solution is nonstationary.

Constructor Summary
`ARMAMaxLikelihood(int p, int q, double[] z)` Constructor for `ARMAMaxLikelihood`.

Method Summary
`void`	`compute()` Computes the exact maximum likelihood estimates for the autoregressive and moving average parameters of an ARMA time series
`double[][]`	`forecast(int nForecast)` Returns forecasts for lead times at origins `z.length-backwardOrigin-1+j` where .
`double[]`	`getAR()` Returns the final autoregressive parameter estimates.
`int`	`getBackwardOrigin()` Returns the current value for forecasting backward origin.
`double`	`getConfidence()` Returns the confidence level used for calculating deviations in `getDeviations`.
`double`	`getConstant()` Returns the estimate for the constant parameter in the ARMA series.
`double[]`	`getDeviations()` Returns the deviations from each forecast used for calculating the forecast confidence limits.
`double[]`	`getForecast(int nForecast)` Returns forecasts
`double[]`	`getGradients()` Returns the gradients for the final parameter estimates.
`double`	`getGradientTolerance()` Returns the gradient tolerance for the convergence algorithm.
`double`	`getInnovationVariance()` Returns the estimated innovation variance of this series.
`double`	`getLikelihood()` Returns the final estimate for , where is equal to the likelihood function evaluated using the final parameter estimates.
`double[]`	`getMA()` Returns the final moving average parameter estimates.
`int`	`getMaxIterations()` Returns the maximum number of iterations.
`double`	`getMean()` Returns the mean used to center the time series.
`int`	`getP()` Returns the number of autoregressive terms in the ARMA model
`double[]`	`getPsiWeights()` Returns the psi weights used for calculating forecasts from the infinite order moving average form of the ARMA model.
`int`	`getQ()` Returns the number of moving average terms in the ARMA model
`double[]`	`getResiduals()` Returns the current values of the vector of residuals.
`double[]`	`getTimeSeries()` Returns the time series used to construct `ARMAMaxLikelihood`.
`double`	`getTolerance()` Returns the tolerance for the convergence algorithm.
`boolean`	`isInvertible(double[] ma)` Tests whether the coefficients in `ma` are invertible
`boolean`	`isStationary(double[] ar)` Tests whether the coefficients in `ar` are stationary.
`void`	`setAR(double[] ar)` Sets the initial values for the autoregressive terms to the `p` values in `ar`.
`void`	`setBackwardOrigin(int backwardOrigin)` Sets the maximum backward origin.
`void`	`setConfidence(double confidence)` Sets the confidence level for calculating confidence limit deviations returned from `getDeviations()`.
`void`	`setConstant(double constant)` Sets the initial value for the constant term in the ARMA model.
`void`	`setGradientTolerance(double gradientTolerance)` Sets the tolerance for the convergence algorithm.
`void`	`setMA(double[] ma)` Sets the initial values for the moving average terms to the `q` values in `ma`.
`void`	`setMaxIterations(int maxIterations)` Sets the maximum number of iterations.
`void`	`setMean(double wMean)` Sets the mean used for centering the series.
`void`	`setTolerance(double tolerance)` Sets the tolerance for the convergence algorithm.

Methods inherited from class java.lang.Object
`clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait`

Constructor Detail

ARMAMaxLikelihood

public ARMAMaxLikelihood(int p,
                         int q,
                         double[] z)
                  throws ARMA.MatrixSingularException,
                         ARMA.TooManyCallsException,
                         ARMA.IncreaseErrRelException,
                         ARMA.NewInitialGuessException,
                         ARMA.IllConditionedException,
                         ARMA.TooManyITNException,
                         ARMA.TooManyFcnEvalException,
                         ARMA.TooManyJacobianEvalException

Constructor for ARMAMaxLikelihood.

Parameters:: p - An int scalar equal to the number of autoregressive (AR) parameters.; q - A int scalar equal to the number of moving average (MA) parameters.; z - A double array containing the time series.
Throws:: ARMA.MatrixSingularException - is thrown if the input matrix is singular.; ARMA.TooManyCallsException - is thrown if the number of calls to the function has exceeded the maximum number of iterations times the number of moving average (MA) parameters + 1.; ARMA.IncreaseErrRelException - is thrown if the bound for the relative error is too small.; ARMA.NewInitialGuessException - is thrown if the iteration has not made good progress.; ARMA.IllConditionedException - is thrown if the problem is ill-conditioned.; ARMA.TooManyITNException - is thrown if the maximum number of iterations is exceeded.; ARMA.TooManyFcnEvalException - is thrown if the maximum number of function evaluations exceeded.; ARMA.TooManyJacobianEvalException - is thrown if the maximum number of Jacobian evaluations is exceeded.

Method Detail

compute

public void compute()
             throws ARMAMaxLikelihood.NonStationaryException,
                    ARMAMaxLikelihood.NonInvertibleException,
                    ARMAMaxLikelihood.InitialMAException

Computes the exact maximum likelihood estimates for the autoregressive and moving average parameters of an ARMA time series

Throws:: ARMAMaxLikelihood.NonStationaryException - is thrown if the final maximum likelihood estimates for the time series are nonstationary.; ARMAMaxLikelihood.NonInvertibleException - is thrown if the final maximum likelihood estimates for the time series are noninvertible.; ARMAMaxLikelihood.InitialMAException - is thrown if the initial values provided for the moving average terms using setMA are noninvertible. In this case, ARMAMaxLikelihood terminates and does not compute the time series estimates.

forecast

public double[][] forecast(int nForecast)
                    throws ARMAMaxLikelihood.NonStationaryException,
                           ARMAMaxLikelihood.NonInvertibleException,
                           ARMAMaxLikelihood.InitialMAException,
                           ARMA.MatrixSingularException,
                           ARMA.TooManyCallsException,
                           ARMA.IncreaseErrRelException,
                           ARMA.NewInitialGuessException,
                           ARMA.IllConditionedException,
                           ARMA.TooManyITNException,
                           ARMA.TooManyFcnEvalException,
                           ARMA.TooManyJacobianEvalException

Returns forecasts for lead times

at origins z.length-backwardOrigin-1+j where

Parameters:: nForecast - An int scalar equal to the number of requested forecasts
Returns:: a double matrix of dimensions of nForecast by backwardOrigin + 1 containing the forecasts. The forecasts are for lead times at origins z.length-backwardOrigin-1+j where .
Throws:: ARMAMaxLikelihood.NonStationaryException - is thrown if the final maximum likelihood estimates for the time series are nonstationary.; ARMAMaxLikelihood.NonInvertibleException - is thrown if the final maximum likelihood estimates for the time series are noninvertible.; ARMAMaxLikelihood.InitialMAException - is thrown if the initial values provided for the moving average terms using setMA are noninvertible. In this case, ARMAMaxLikelihood terminates and does not compute the time series estimates.; ARMA.MatrixSingularException - is thrown if the input matrix is singular.; ARMA.TooManyCallsException - is thrown if the number of calls to the function has exceeded the maximum number of iterations times the number of moving average (MA) parameters + 1.; ARMA.IncreaseErrRelException - is thrown if the bound for the relative error is too small.; ARMA.NewInitialGuessException - is thrown if the iteration has not made good progress.; ARMA.IllConditionedException - is thrown if the problem is ill-conditioned.; ARMA.TooManyITNException - is thrown if the maximum number of iterations is exceeded.; ARMA.TooManyFcnEvalException - is thrown if the maximum number of function evaluations exceeded.; ARMA.TooManyJacobianEvalException - is thrown if the maximum number of Jacobian evaluations is exceeded.

getAR

public double[] getAR()

Returns the final autoregressive parameter estimates.

Returns:: A double array of length p containing the final autoregressive parameter estimates.

getBackwardOrigin

public int getBackwardOrigin()

Returns the current value for forecasting backward origin.

Returns:: A double scalar value representing the current value of backwardOrigin

getConfidence

public double getConfidence()

Returns the confidence level used for calculating deviations in getDeviations.

Returns:: A double scalar value of confidence used for computing the (1-confidence)*100% forecast confidence interval.

getConstant

public double getConstant()

Returns the estimate for the constant parameter in the ARMA series.

Returns:: A double scalar equal to the estimate for the constant parameter in the ARMA series.

getDeviations

public double[] getDeviations()

Returns the deviations from each forecast used for calculating the forecast confidence limits.

Returns:: A double array of length backwardOrigin+nForecast containing the deviations for calculating forecast confidence intervals. The confidence level is specified in confidence. By default, confidence= 0.95.

getForecast

public double[] getForecast(int nForecast)
                     throws ARMAMaxLikelihood.NonStationaryException,
                            ARMAMaxLikelihood.NonInvertibleException,
                            ARMAMaxLikelihood.InitialMAException,
                            ARMA.MatrixSingularException,
                            ARMA.TooManyCallsException,
                            ARMA.IncreaseErrRelException,
                            ARMA.NewInitialGuessException,
                            ARMA.IllConditionedException,
                            ARMA.TooManyITNException,
                            ARMA.TooManyFcnEvalException,
                            ARMA.TooManyJacobianEvalException

Returns forecasts

Parameters:: nForecast - An input int representing the number of requested forecasts beyond the last value in the series.
Returns:: A double array containing the nForecast+backwardOrigin forecasts. The first backwardOrigin forecasts are one-step ahead forecasts for the last backwardOrigin values in the series. The next nForecast values in the returned series are forecasts for the next values beyond the series.
Throws:: ARMAMaxLikelihood.NonStationaryException - is thrown if the final maximum likelihood estimates for the time series are nonstationary.; ARMAMaxLikelihood.NonInvertibleException - is thrown if the final maximum likelihood estimates for the time series are noninvertible.; ARMAMaxLikelihood.InitialMAException - is thrown if the initial values provided for the moving average terms using setMA are noninvertible. In this case, ARMAMaxLikelihood terminates and does not compute the time series estimates.; ARMA.MatrixSingularException - is thrown if the input matrix is singular.; ARMA.TooManyCallsException - is thrown if the number of calls to the function has exceeded the maximum number of iterations times the number of moving average (MA) parameters + 1.; ARMA.IncreaseErrRelException - is thrown if the bound for the relative error is too small.; ARMA.NewInitialGuessException - is thrown if the iteration has not made good progress.; ARMA.IllConditionedException - is thrown if the problem is ill-conditioned.; ARMA.TooManyITNException - is thrown if the maximum number of iterations is exceeded.; ARMA.TooManyFcnEvalException - is thrown if the maximum number of function evaluations exceeded.; ARMA.TooManyJacobianEvalException - is thrown if the maximum number of Jacobian evaluations is exceeded.

getGradients

public double[] getGradients()

Returns the gradients for the final parameter estimates.

Returns:: A double array of length p+q containing the gradients of the final parameter estimates.

getGradientTolerance

public double getGradientTolerance()

Returns the gradient tolerance for the convergence algorithm.

Returns:: A double scalar specifying the value used for the gradient tolerance.

getInnovationVariance

public double getInnovationVariance()

Returns the estimated innovation variance of this series.

Returns:: A double scalar equal to the estimated innovation variance for the time series.

getLikelihood

public double getLikelihood()
                     throws ARMAMaxLikelihood.NonStationaryException,
                            ARMAMaxLikelihood.NonInvertibleException,
                            ARMAMaxLikelihood.InitialMAException

Returns the final estimate for

, where

is equal to the likelihood function evaluated using the final parameter estimates.

Returns:: A double scalar equal to the log likelihood function, .
Throws:: ARMAMaxLikelihood.NonStationaryException - is thrown if the final maximum likelihood estimates for the time series are nonstationary.; ARMAMaxLikelihood.NonInvertibleException - is thrown if the final maximum likelihood estimates for the time series are noninvertible.; ARMAMaxLikelihood.InitialMAException - is thrown if the initial values provided for the moving average terms using setMA are noninvertible. In this case, ARMAMaxLikelihood terminates and does not compute the time series estimates.

getMA

public double[] getMA()

Returns the final moving average parameter estimates.

Returns:: A double array of length q containing the final moving average parameter estimates.

getMaxIterations

public int getMaxIterations()

Returns the maximum number of iterations.

Returns:: An int scalar containing the maximum number of iterations allowed in the nonlinear equation solver used in both the method of moments and least-squares algorithms. Default: maxIterations = 300.

getMean

public double getMean()

Returns the mean used to center the time series.

Returns:: A double scalar specifying the value to used for centering the time series.

getP

public int getP()

Returns the number of autoregressive terms in the ARMA model

Returns:: An int scalar value of p, the number of autoregressive terms in the ARMA model.

getPsiWeights

public double[] getPsiWeights()

Returns the psi weights used for calculating forecasts from the infinite order moving average form of the ARMA model.

Returns:: A double array of length nForecast containing the psi weights of the infinite order moving average form of the model.

getQ

public int getQ()

Returns the number of moving average terms in the ARMA model

Returns:: An int scalar value of q, the number of moving average terms in the ARMA model.

getResiduals

public double[] getResiduals()

Returns the current values of the vector of residuals.

Returns:: A double array of length backwardOrigin containing the residuals for the last backwardOrigin values in the time series. The compute and either the forecast or getForecast methods must be called before calling this method.

getTimeSeries

public double[] getTimeSeries()

Returns the time series used to construct ARMAMaxLikelihood.

Returns:: A double containing the values of the time series passed to the class constructor.

getTolerance

public double getTolerance()

Returns the tolerance for the convergence algorithm.

Returns:: A double scalar containing the value of the tolerance used during maximum likelihood estimation.

isInvertible

public boolean isInvertible(double[] ma)

Tests whether the coefficients in ma are invertible

Parameters:: ma - A double array containing the coefficients for the moving average terms in an ARMA model.
Returns:: A boolean scalar equal to true if the coefficients in ma are invertible and false otherwise.

isStationary

public boolean isStationary(double[] ar)

Tests whether the coefficients in ar are stationary.

Parameters:: ar - A double array containing the coefficients for the autoregressive terms in an ARMA model
Returns:: A boolean scalar equal to true if the coefficients in ar are stationary and false otherwise.

setAR

public void setAR(double[] ar)

Sets the initial values for the autoregressive terms to the p values in ar.

Parameters:: ar - An input double array of length p containing the initial values for the autoregressive terms. If this method is not called, initial values are computed by method of moments in the ARMA class.

setBackwardOrigin

public void setBackwardOrigin(int backwardOrigin)

Sets the maximum backward origin.

Parameters:: backwardOrigin - An int scalar specifying the maximum backward origin used in forecasting. backwardOrigin must be greater than or equal to 0 and less than or equal to z.length - Math.max(p, q). Default: backwardOrigin = 0.

setConfidence

public void setConfidence(double confidence)

Sets the confidence level for calculating confidence limit deviations returned from getDeviations().

Parameters:: confidence - a double scalar specifying the confidence level used in computing forecast confidence intervals. Typical choices for confidence are 0.90, 0.95, and 0.99. confidence must be greater than 0.0 and less than 1.0. Default: confidence = 0.95.

setConstant

public void setConstant(double constant)

Sets the initial value for the constant term in the ARMA model.

Parameters:: constant - A double scalar specifying the initial value for the constant term in the ARMA model. By default, the constant term is initially estimated using ARMA method of moments estimation.

setGradientTolerance

public void setGradientTolerance(double gradientTolerance)

Sets the tolerance for the convergence algorithm.

Parameters:: gradientTolerance - A double scalar specifying the the tolerance used for numerically estimating the gradient by differences. Default: gradientTolerance = 1e-04.

setMA

public void setMA(double[] ma)

Sets the initial values for the moving average terms to the q values in ma.

Parameters:: ma - A double array of length q containing the initial values for the moving average terms. If this method is not called, initial values are computed by method of moments in the ARMA class.
Throws:: ARMAMaxLikelihood.InitialMAException - is thrown if the number of initial values provided for the moving average terms using setMA is not equal to q.

setMaxIterations

public void setMaxIterations(int maxIterations)
                      throws IllegalArgumentException

Sets the maximum number of iterations.

Parameters:: maxIterations - An int scalar specifying the maximum number of iterations allowed in the nonlinear equation solver used in both the method of moments and least-squares algorithms. Default: maxIterations = 300.
Throws:: IllegalArgumentException

setMean

public void setMean(double wMean)

Sets the mean used for centering the series.

Parameters:: wMean - A double scalar specifying the value to use for centering the time series. By default the series is centered using the mean of the series.

setTolerance

public void setTolerance(double tolerance)