AutoARIMACompute Method (Int32) |
Estimates potential missing values, detects and determines outliers and
simultaneously fits an optimum model from a set of different
models to the outlier free
time series.
Namespace: Imsl.StatAssembly: ImslCS (in ImslCS.dll) Version: 6.5.2.0
Syntax public void Compute(
int maxlag
)
Public Sub Compute (
maxlag As Integer
)
public:
void Compute(
int maxlag
)
member Compute :
maxlag : int -> unit
Parameters
- maxlag
- Type: SystemInt32
The maximum value for p allowed when fitting
models to the given series, . It is required that x.Length.
The optimum
model is determined according to the model selection
criterion chosen by the user, see property
ModelSelectionCriterion.
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 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 weights, is
not positive definite.
|
NoAcceptableModelFoundException |
is thrown if no appropriate ARIMA model for the given time series could
be found.
|
See Also