public class Difference extends Object implements Serializable, Cloneable
Class Difference
performs m = periods.length
successive backward differences of period and order on the n =
z.length
observations .
Consider the backward shift operator B given by
for all k. Then, the backward difference operator with period s is defined by the following:
Note that and are defined only for . Repeated differencing with period s is simply
where is the order of differencing. Note that
is defined only for .
The general difference formula used in the class Difference
is given by
where represents the number of observations "lost" because of differencing and NaN represents the missing value code. Note that
A homogeneous, stationary time series can be arrived at by appropriately differencing a homogeneous, nonstationary time series (Box and Jenkins 1976, p. 85). Preliminary application of an appropriate transformation followed by differencing of a series can enable model identification and parameter estimation in the class of homogeneous stationary autoregressive moving average models.
Constructor and Description 

Difference()
Constructor for
Difference . 
Modifier and Type  Method and Description 

double[] 
compute(double[] z,
int[] periods)
Computes a Difference series.

void 
excludeFirst(boolean exclude)
If set to true, the observations lost due to differencing will be excluded.

int 
getObservationsLost()
Returns the number of observations lost because of differencing the time
series.

void 
setOrders(int[] orders)
Sets the orders for the Difference object

public final double[] compute(double[] z, int[] periods) throws IllegalArgumentException
z
 a double
array containing the time series.periods
 an int
array containing the periods at which
z is to be differenced.double
array containing the differenced series.IllegalArgumentException
public void excludeFirst(boolean exclude)
exclude
 a boolean
specifying whether or not to exclude
lost observations due to differencing.public int getObservationsLost()
compute
method must be invoked
first before invoking this method. Otherwise, the return value is
0
.int
containing the number of observations
lost because of differencing the time series z
.public void setOrders(int[] orders)
orders
 an int
array of length equal to length of periods
,
containing the order of each difference given in periods. The elements of orders
must be greater than or equal to 0.Copyright © 19702015 Rogue Wave Software
Built October 13 2015.