Detects and determines outliers and simultaneously estimates the model parameters for the given time series.

Namespace: Imsl.Stat
Assembly: ImslCS (in ImslCS.dll) Version: 6.5.0.0

Syntax

C#
public void Compute(
	int[] model
)
Visual Basic (Declaration)
Public Sub Compute ( _
	model As Integer() _
)
Visual C++
public:
void Compute(
	array<int>^ model
)

Parameters

model
Type: array< System..::.Int32 >[]()[]
An int array of length 4 containing the numbers p, q, s, d of the \text{ARIMA}(p,0,q)\times(0,d,0)_s model the outlier free series is following. It is required that p, q and d are non-negative and s is positive and consistent with z.Length.

Exceptions

ExceptionCondition
Imsl.Stat..::.NonStationaryException is thrown if the intermediate or final maximum likelihood estimates for the time series are nonstationary.
Imsl.Stat..::.NonInvertibleException is thrown if the intermediate or final maximum likelihood estimates for the time series are noninvertible.
Imsl.Stat..::.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.
Imsl.Math..::.DidNotConvergeException is thrown if the algorithm computing the roots of the AR- or MA- polynomial does not converge.
Imsl.Stat..::.MatrixSingularException is thrown if one of the matrices used in classes ARMA or ARMAMaxLikelihood is singular.
Imsl.Stat..::.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.
Imsl.Stat..::.IncreaseErrRelException is thrown if the bound for the relative error is too small.
Imsl.Stat..::.NewInitialGuessException is thrown if the iteration has not made good progress.
Imsl.Stat..::.IllConditionedException is thrown if the problem is ill-conditioned.
Imsl.Stat..::.TooManyIterationsException is thrown if the maximum number of iterations is exceeded.
Imsl.Stat..::.TooManyFunctionEvaluationsException is thrown if the maximum number of function evaluations is exceeded.
Imsl.Stat..::.TooManyJacobianEvalException is thrown if the maximum number of Jacobian evaluations is exceeded.
Imsl.Math..::.SingularMatrixException is thrown if during the computation of a small perturbation of the matrix product A^TA, it is found that A, the matrix used in the determination of the \omega weights, is singular.
Imsl.Math..::.NotSPDException is thrown if during the computation of a small perturbation of the matrix product A^TA, it is found that A, the matrix used in the determination of the \omega weights, is not positive definite.

See Also