ISlARMAGARCH.ParseAR

Syntax

ParseAR(Value: String; [AssignOrder: Boolean = True]);

Parameters

Value. String representation of autoregression order.

AssignOrder. Indicates whether the obtained value is set into the ISlARMAGARCH.OrderAR property.

Description

The ParseAR method parses strings with parameters of non-seasonal autoregression.

Comments

The Value parameter should contain numbers or ranges of autoregression orders, separated with commas. For example:

ParseAR("1-3,5,7-9", True);

If AssignOrder = True, after executing the ParseAR the obtained value is set into the ISlARMAGARCH.OrderAR property. If AssignOrder = False, the order of parameters of non-seasonal autoregression is unchanged.

Example

To execute the example, add a link to the Stat system assembly.

Sub UserProc;
Var
    armagarch: ISmGARCH;
    W: Array[12] Of Double;
    X: Array[20] Of Double;
    ARMA: ISlARMAGARCH;
    //AR, MA: Array[1] Of Integer;
    Inits: Array[1] Of Double;
    res: Integer;
    d: Double;
    CoefficientsAR, CoefficientsMA: ICoefficients;
    GARCHCoefficients: IGARCHCoefficients;
Begin
    armagarch := New SmGARCH.Create;
    // explanatory series values
    w[0] := 2; w[4] := -1.9; w[8] := -0.7;
    w[1] := 0.8; w[5] := Double.Nan; w[9] := Double.Nan;
    w[2] := -0.3; w[6] := 3.2; w[10] := 4.3;
    w[3] := -0.3; w[7] := 1.6; w[11] := 1.1;
    armagarch.Explained.Value := w;
    // explanatory series values
    x[0] := Double.Nan; x[10] := 11;
    x[1] := 2; x[11] := 12;
    x[2] := 3; x[12] := 13;
    x[3] := 4; x[13] := Double.Nan;
    x[4] := 5; x[14] := 15;
    x[5] := 6; x[15] := 16;
    x[6] := Double.Nan; x[16] := 17;
    x[7] := 8; x[17] := Double.Nan;
    x[8] := 9; x[18] := 19;
    x[9] := 10; x[19] := 20;
    // sample period
    armagarch.ModelPeriod.FirstPoint := 1;
    armagarch.ModelPeriod.LastPoint := 12;
    armagarch.Forecast.LastPoint := 19;
    // Method of missing data treatment
    armagarch.MissingData.Method := MissingDataMethod.AnyValue;
    // exogenous variable is used in the model
    armagarch.Explanatories.Clear;
    armagarch.Explanatories.Add.Value := X;
    // initial approximations of exogenous variable
    armagarch.Explanatories.Item(0).InitValue := 0.7;
    GARCHCoefficients := armagarch.GARCHCoefficients;
    // parsing strings with AR and MA
    armagarch.ARMA.ParseAR("2", True);
    armagarch.ARMA.ParseMA("1", True);
    ARMA := armagarch.ARMA;
    // initial approximations of autoregression
    Inits[0] := 0.2;
    ARMA.InitAR := Inits;
    // initial approximations of moving average
    Inits[0] := 0.3;
    ARMA.InitMA := Inits;
    // calculate model
    res := armagarch.Execute;
    Debug.WriteLine(armagarch.Errors);
    If (res = 0) Then
        // autoregression coefficients
        Debug.WriteLine("Autoregression coefficients estimates");
        CoefficientsAR := ARMA.CoefficientsAR;
        Debug.Indent;
        d := CoefficientsAR.Estimate[0];
        Debug.WriteLine("Value: " + d.ToString);
        Debug.Unindent;
        // moving average coefficients
        Debug.WriteLine("Estimates of moving average coefficients");
        CoefficientsMA := ARMA.CoefficientsMA;
        Debug.Indent;
        d := CoefficientsMA.Estimate[0];
        Debug.WriteLine("Value: " + d.ToString);
        Debug.Unindent;
    End If;
End Sub UserProc;

As a result of the example execution, the following settings are defined:

Sample period and calculation period start date are set manually.
Autoregression parameter equals to 2.
Moving average parameter equals to 1.
Initial approximations of autoregression and moving average are set.

The console window displays estimates of autoregression coefficients and moving average coefficients.