public class Difference extends Object implements Serializable, Cloneable
Difference performs m =
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
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|
|Modifier and Type||Method and Description|
Computes a Difference series.
If set to true, the observations lost due to differencing will be excluded.
Returns the number of observations lost because of differencing the time series.
Sets the orders for the Difference object
public final double compute(double z, int periods) throws IllegalArgumentException
doublearray containing the time series.
intarray containing the periods at which z is to be differenced.
doublearray containing the differenced series.
public void excludeFirst(boolean exclude)
booleanspecifying whether or not to exclude lost observations due to differencing.
public int getObservationsLost()
computemethod must be invoked first before invoking this method. Otherwise, the return value is
intcontaining the number of observations lost because of differencing the time series
public void setOrders(int orders)
intarray 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.
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Built October 13 2015.