AutoARIMA.Compute Method (Int32[], Int32[])

AutoARIMACompute Method (Int32, Int32)

Estimates potential missing values, detects and determines outliers and simultaneously fits an optimum model from a set of different $\text{ARIMA}(p,0,q)\times(0,d,0)_s$ models to the outlier free time series.

Namespace: Imsl.Stat
Assembly: ImslCS (in ImslCS.dll) Version: 6.5.2.0

Syntax

C++

Copy

public void Compute(
	int[] arOrders,
	int[] maOrders
)

Public Sub Compute ( 
	arOrders As Integer(),
	maOrders As Integer()
)

public:
void Compute(
	array<int>^ arOrders, 
	array<int>^ maOrders
)

member Compute : 
        arOrders : int[] * 
        maOrders : int[] -> unit

Parameters

arOrders: Type: SystemInt32
An int array containing all possible AR orders to consider in the optimum model search. It is required that all values in arOrders are greater than or equal to zero.
maOrders: Type: SystemInt32
An int array containing all possible MA orders to consider in the optimum model search. It is required that all values in maOrders are greater than or equal to zero.

Exceptions

Exception	Condition
MatrixSingularException	is thrown if the input matrix is singular.
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.
IncreaseErrRelException	is thrown if the bound for the relative error is too small.
NewInitialGuessException	is thrown if the iteration has not made good progress.
IllConditionedException	is thrown if the problem is ill-conditioned.
TooManyIterationsException	is thrown if the maximum number of iterations is exceeded.
TooManyFunctionEvaluationsException	is thrown if the maximum number of function evaluations is exceeded.
TooManyJacobianEvalException	is thrown if the maximum number of Jacobian evaluations is exceeded.
SingularTriangularMatrixException	is thrown if the input matrix to ARAutoUnivariate is singular.
NonInvertibleException	is thrown if the intermediate or final maximum likelihood estimates for the time series are noninvertible.
NonStationaryException	is thrown if the intermediate or final maximum likelihood estimates for the time series are nonstationary.
InitialMAException	is thrown if the initial values provided for the moving average terms are noninvertible. In this case, ARMAMaxLikelihood terminates and does not compute the time series estimates.
DidNotConvergeException	is thrown if the algorithm computing the roots of the AR- or MA- polynomial does not converge.
SingularMatrixException	is thrown if during the computation of a small perturbation of the matrix product , it is found that A, the matrix used in the determination of the $\omega$ weights, is singular.
NotSPDException	is thrown if during the computation of a small perturbation of the matrix product , it is found that A, the matrix used in the determination of the $\omega$ weights, is not positive definite.
NoAcceptableModelFoundException	is thrown if no appropriate ARIMA model for the given time series could be found.

Reference

AutoARIMA Class

Compute Overload

Imsl.Stat Namespace