Scilab Function
Last update : 21/8/2006
c_AREG - Function to apply an autoregressive model or ARMA (1,1,1)
Calling Sequence
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CALC = c_AREG(Param,MAXleadT,OBS)
Parameters
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Param
: Parameters of the autoregressive model
Param(1) = Number of forecasting time steps (Hprev)Param(2) = Number of differenciation time-steps (Delta) Param(3) = Moving average parameter (a1) Param(4) = Autoregressive parameter (a2)
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MAXleadT
: Maximum lead time (number of time steps, should be greater than 1)
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OBS
: Input data (matrix [Nx1] where N is the number of time steps)
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CALC
: Calculated values (matrix [Nx1] where N is the number of time steps)
Description
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WARNING : This function is written in C language and interfaced with SCILAB (HYDROGR.dll).
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The model is an ARMA(1,1,1) with initialisation or errors at zero according to Box-Jenkins definition.
Examples
Add here scilab instructions and comments
See Also
armax
,
arsimul
,
Authors
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Julien Lerat
CEMAGREF Antony, HBAN Unit, julien.lerat@cemagref.fr
Bibliography
Box, G., Jenkins, M., Time.Series Analysis,Forecasting and Control, Prentice Hall,1970,592 pages,ISBN:0130607746