Estimates the optimum seasonality parameters for a time series using an autoregressive model, AR(p), to represent the time series.
For a list of all members of this type, see ARSeasonalFit Members.
System.Object
Imsl.Stat.ARSeasonalFit
Public static (Shared in Visual Basic) members of this type are safe for multithreaded operations. Instance members are not guaranteed to be thread-safe.
ARMA time series modeling assumes the time series is stationary. Seasonal trends and cycles violate this assumption, which can lead to inaccurate predictions. However, in many cases the nonstationary series can be transformed into a stationary series by first differencing the series. For example, if the correlation is strong from one period to the next, the series might be differenced by a lag of 1. Instead of fitting a model to the original series , the model is fitted to the transformed series: . Higher order lags or differences are warranted if the series has cycles every 4 or 13 weeks. Class ARSeasonalFit
is designed to help identify the optimum differencing for a series with seasonal trends or cycles.
ARSeasonalFit
assumes the original series has no missing values, is equally spaced in time and is not centered before computing the optimum differencing. However, by default the transformed series is centered using the mean of that series. Users can change this default setting with the Center property. If Center
is set to None the series is not centered, if set to Mean the series is centered using the mean of the series, and if it is set to Median, the series is centered using the median of the series. If Center
is set to Mean
or Median
then the differenced series, is centered before determination of minimum AIC and optimum lag.
For every combination of rows in SInitial
and DInitial
, the series is converted to the seasonally adjusted series using the following computation
SInitial
and DInitial
respectively, and m is the number of differences, or m=SInitial.GetLength(1)
.
This transformation of the series to is computed using the Difference
class. After this transformation the transformed series
None
is specified, and the ARAutoUnivariate class is used to automatically determine the optimum lag for an AR(p) representation for .
This procedure is repeated for every possible combination of rows in SInitial
and DInitial
. The series with the minimum AIC is identified as the optimum representation and returned in the methods and properties AROrder, GetOptimumS, GetOptimumD, AIC, and GetAR. The transformed series with the minium AIC can be retrieved from the
GetTransformedTimeSeries method.
Namespace: Imsl.Stat
Assembly: ImslCS (in ImslCS.dll)
ARSeasonalFit Members | Imsl.Stat Namespace | Example