@Test public void testSomeMethod() { PreprocessingModel process = TramoSpecification.TRfull.build().process(Data.X, null); RegArimaModel<SarimaModel> regArima = process.estimation.getRegArima(); DataBlock errors = OneStepAheadPredictionErrors.errors(regArima); DataBlock cerrors = DataBlock.select(errors, x->Double.isFinite(x)); assertEquals(cerrors.ssq(), process.estimation.getStatistics().SsqErr, 1e-6); }
public static DataBlock errors(RegArimaModel regarima) { IArimaModel arima = regarima.getArima(); if (regarima.isMeanCorrection()) { arima = new ArimaModel(arima.getStationaryAR(), arima.getNonStationaryAR().times(BackFilter.D1), arima.getMA().times(BackFilter.D1), arima.getInnovationVariance()); } ISsf ssf; SsfArima ssfarima = new SsfArima(arima); DataBlock y = regarima.getY().deepClone(); int nx = regarima.getXCount(); if (nx > 0) { Matrix x = new Matrix(y.getLength(), nx); for (int i = 0; i < nx; ++i) { x.column(i).copy(regarima.X(i)); } ssf = new RegSsf(ssfarima, x.all()); } else { ssf = ssfarima; } Filter filter = new Filter(); filter.setSsf(ssf); filter.setInitializer(new DiffuseSquareRootInitializer()); int[] missings = regarima.getMissings(); if (missings != null) { for (int i = 0; i < missings.length; ++i) { y.set(missings[i], Double.NaN); } } DiffusePredictionErrorDecomposition ped=new DiffusePredictionErrorDecomposition(true); filter.process(new SsfData(y, null), ped); return new DataBlock(ped.residuals(false)); }
OneStepAheadPredictionErrors { public static DataBlock errors(RegArimaModel regarima) { IArimaModel arima = regarima.getArima(); if (regarima.isMeanCorrection()) { arima = new ArimaModel(arima.getStationaryAR(), arima.getNonStationaryAR().times(BackFilter.D1), arima.getMA().times(BackFilter.D1), arima.getInnovationVariance()); } ISsf ssf; SsfArima ssfarima = new SsfArima(arima); DataBlock y = regarima.getY().deepClone(); int nx = regarima.getXCount(); if (nx > 0) { Matrix x = new Matrix(y.getLength(), nx); for (int i = 0; i < nx; ++i) { x.column(i).copy(regarima.X(i)); } ssf = new RegSsf(ssfarima, x.all()); } else { ssf = ssfarima; } Filter filter = new Filter(); filter.setSsf(ssf); filter.setInitializer(new DiffuseSquareRootInitializer()); int[] missings = regarima.getMissings(); if (missings != null) { for (int i = 0; i < missings.length; ++i) { y.set(missings[i], Double.NaN); } } DiffusePredictionErrorDecomposition ped=new DiffusePredictionErrorDecomposition(true); filter.process(new SsfData(y, null), ped); return new DataBlock(ped.residuals(false)); } }
OneStepAheadPredictionErrors { public static DataBlock errors(RegArimaModel regarima) { IArimaModel arima = regarima.getArima(); if (regarima.isMeanCorrection()) { arima = new ArimaModel(arima.getStationaryAR(), arima.getNonStationaryAR().times(BackFilter.D1), arima.getMA().times(BackFilter.D1), arima.getInnovationVariance()); } ISsf ssf; SsfArima ssfarima = new SsfArima(arima); DataBlock y = regarima.getY().deepClone(); int nx = regarima.getXCount(); if (nx > 0) { Matrix x = new Matrix(y.getLength(), nx); for (int i = 0; i < nx; ++i) { x.column(i).copy(regarima.X(i)); } ssf = new RegSsf(ssfarima, x.all()); } else { ssf = ssfarima; } Filter filter = new Filter(); filter.setSsf(ssf); filter.setInitializer(new DiffuseSquareRootInitializer()); int[] missings = regarima.getMissings(); if (missings != null) { for (int i = 0; i < missings.length; ++i) { y.set(missings[i], Double.NaN); } } DiffusePredictionErrorDecomposition ped=new DiffusePredictionErrorDecomposition(true); filter.process(new SsfData(y, null), ped); return new DataBlock(ped.residuals(false)); }  }
OneStepAheadPredictionErrors { public static DataBlock errors(RegArimaModel regarima) { IArimaModel arima = regarima.getArima(); if (regarima.isMeanCorrection()) { arima = new ArimaModel(arima.getStationaryAR(), arima.getNonStationaryAR().times(BackFilter.D1), arima.getMA().times(BackFilter.D1), arima.getInnovationVariance()); } ISsf ssf; SsfArima ssfarima = new SsfArima(arima); DataBlock y = regarima.getY().deepClone(); int nx = regarima.getXCount(); if (nx > 0) { Matrix x = new Matrix(y.getLength(), nx); for (int i = 0; i < nx; ++i) { x.column(i).copy(regarima.X(i)); } ssf = new RegSsf(ssfarima, x.all()); } else { ssf = ssfarima; } Filter filter = new Filter(); filter.setSsf(ssf); filter.setInitializer(new DiffuseSquareRootInitializer()); int[] missings = regarima.getMissings(); if (missings != null) { for (int i = 0; i < missings.length; ++i) { y.set(missings[i], Double.NaN); } } DiffusePredictionErrorDecomposition ped=new DiffusePredictionErrorDecomposition(true); filter.process(new SsfData(y, null), ped); return new DataBlock(ped.residuals(false)); }  static DataBlock errors(RegArimaModel regarima); }
OneStepAheadPredictionErrors { public static DataBlock errors(RegArimaModel regarima) { IArimaModel arima = regarima.getArima(); if (regarima.isMeanCorrection()) { arima = new ArimaModel(arima.getStationaryAR(), arima.getNonStationaryAR().times(BackFilter.D1), arima.getMA().times(BackFilter.D1), arima.getInnovationVariance()); } ISsf ssf; SsfArima ssfarima = new SsfArima(arima); DataBlock y = regarima.getY().deepClone(); int nx = regarima.getXCount(); if (nx > 0) { Matrix x = new Matrix(y.getLength(), nx); for (int i = 0; i < nx; ++i) { x.column(i).copy(regarima.X(i)); } ssf = new RegSsf(ssfarima, x.all()); } else { ssf = ssfarima; } Filter filter = new Filter(); filter.setSsf(ssf); filter.setInitializer(new DiffuseSquareRootInitializer()); int[] missings = regarima.getMissings(); if (missings != null) { for (int i = 0; i < missings.length; ++i) { y.set(missings[i], Double.NaN); } } DiffusePredictionErrorDecomposition ped=new DiffusePredictionErrorDecomposition(true); filter.process(new SsfData(y, null), ped); return new DataBlock(ped.residuals(false)); }  static DataBlock errors(RegArimaModel regarima);  }