IMsArimaTransform.AutoCorrelation

Fore Syntax

AutoCorrelation(Calculation: IMsMethodCalculation;
    Coord: IMsFormulaTransformCoord;
    Var ACF: Array;
    Var PACF: Array;
    Var QStatistics: Array;
    Var Probability: Array);

Fore.NET Syntax

AutoCorrelation
    (Calculation: Prognoz.Platform.Interop.Ms.IMsMethodCalculation;
    Coord: Prognoz.Platform.Interop.Ms.IMsFormulaTransformCoord;
    var ACF: System.Array;
    var PACF: System.Array;
    var QStatistics: System.Array;
    var Probability: System.Array);

Parameters

Calculation. Model calculation parameters.

Coord. Output variable slice for which calculation is performed.

ACF. Real-valued array with values of the autocorrelation function.

PACF. Real array with values of the private autocorrelation function.

QStatistics. Real array with values of the Ljung-Box Q-statistics.

Probability. Real array with probability values of the Ljung-Box Q-statistics.

Description

The AutoCorrelation method executes autocorrelation analysis of a model.

Comments

After executing the method, the analysis results contain the ACF, PACF, QStatistics and Probablity parameters.

Fore Example

Executing the example requires that the repository contains a modeling container with the CONT_MODEL identifier. The container includes the ARIMA model with the MODEL identifier.

Add links to the Metabase, Ms system assemblies.

Sub UserProc;
Var
    MB: IMetabase;
    Model: IMsModel;
    Transform: IMsFormulaTransform;
    VarTrans: IMsFormulaTransformVariable;
    Tree: IMsFormulaTransformSlicesTree;
    Slice: IMsFormulaTransformSlice;
    Selector: IMsFormulaTransformSelector;
    Formula: IMsFormula;
    Arima: IMsArimaTransform;
    Coord: IMsFormulaTransformCoord;
    Calc: IMsModelCalculation;
    acf, pacf, qs, prob: Array Of Double;

    Sub PrintArray(a: Array Of Double);
    Var
        i: Integer;
    Begin
        For i := 0 To a.Length - 1 Do
            Debug.WriteLine(a[i]);
        End For;
    End Sub PrintArray;
Begin
    MB := MetabaseClass.Active;
    Model := MB.ItemByIdNamespace("MODEL", MB.ItemById("CONT_MODEL").Key).Bind As IMsModel;
    Transform := Model.Transform;
    VarTrans := Transform.Outputs.Item(0);
    Tree := VarTrans.SlicesTree(VarTrans);
    Slice := Tree.CreateSlice(1);
    Selector := Transform.CreateSelector;
    Selector.Slice := Slice;
    Formula := Transform.Transform(Selector);
    Arima := Formula.Method As IMsArimaTransform;
    Coord := Transform.CreateCoord(VarTrans);
    Calc := Model.CreateCalculation;
    Calc.Period.IdentificationStartDate := DateTime.ComposeDay(2000, 01, 01);
    Calc.Period.IdentificationEndDate := DateTime.ComposeDay(2005, 12, 31);
    Calc.Period.ForecastStartDate := DateTime.ComposeDay(2006, 01, 01);
    Calc.Period.ForecastEndDate := DateTime.ComposeDay(2010, 12, 31);
    Arima.AutoCorrelation(Calc As IMsMethodCalculation, Coord, acf, pacf, qs, prob);
    Debug.WriteLine(---- Autocorrelation function ----);
    PrintArray(acf);
    Debug.WriteLine(---- Private autocorrelation function ----);
    PrintArray(pacf);
    Debug.WriteLine(---- q-statistics of Lung-Box ----);
    PrintArray(qs);
    Debug.WriteLine(---- probability of q-statistics ----);
    PrintArray(prob);
End Sub UserProc;

After executing the example the results of autocorrelation analysis of the model are displayed in the console window.