ISmSerialCorrelationLMTest.ARMA

Syntax

Description

The ARMA property determines autoregression and moving average orders.

Comments

By default autoregression and moving average parameters are not defined.

Example

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

Sub UserProc;
Var
    Lm: SmSerialCorrelationLMTest;
    d0: Double;
    res: Integer;
    y, y0, y1, y2, v: Array Of Double;
    ARorder: Array Of Integer;
    // data output procedure
    Sub Print(Data: Array Of Double);
    Var
        i: Integer;
        CI: ICultureInfo;
    Begin
        CI := CultureInfo.Current;
        Debug.WriteLine("---Begin---");
        For i := 0 To Data.Length - 1 Do
            If Double.IsNan(Data[i]) Then
                Debug.WriteLine("---empty---");
            Else
                Debug.WriteLine(i.ToString + ", " + CI.FormatDoublePrec(Data[i], 4));
            End If;
        End For;
        Debug.WriteLine("---End---");
    End Sub Print;
Begin
    y := New Double[9];
    y0 := New Double[9];
    y1 := New Double[9];
    y2 := New Double[9];
//values y, y0, y1, y2
    y[0] := 6209; y0[0] := 4110; y1[0] := 3415; y2[0] := 2822;
    y[1] := 6385; y0[1] := 4280; y1[1] := 3673; y2[1] := 3023;
    y[2] := 6752; y0[2] := 4459; y1[2] := 4013; y2[2] := 3131;
    y[3] := 6837; y0[3] := 4545; y1[3] := 4278; y2[3] := 3351;
    y[4] := 6495; y0[4] := 4664; y1[4] := 4577; y2[4] := 3463;
    y[5] := 6907; y0[5] := 4861; y1[5] := 5135; y2[5] := 3686;
    y[6] := 7349; y0[6] := 5195; y1[6] := 5388; y2[6] := 3815;
    y[7] := 7213; y0[7] := 5389; y1[7] := 5610; y2[7] := 3960;
    y[8] := 7061; y0[8] := 5463; y1[8] := 5787; y2[8] := 4119;
    Lm := New SmSerialCorrelationLMTest.Create;
    Lm.Explained.Value := y;
    Lm.Explanatories.Add.Value := y0;
    Lm.Explanatories.Add.Value := y1;
    Lm.Explanatories.Add.Value := y2;
    Lm.ModelPeriod.FirstPoint := 1;
    Lm.ModelPeriod.LastPoint := 9;
    Lm.MissingData.Method := MissingDataMethod.SampleAverage;
    Lm.ModelCoefficients.Intercept.Mode := InterceptMode.AutoEstimate;
    Lm.LMOrder := 1;
    AROrder := New integer[1];
    AROrder[0] := 2;
    Lm.ARMA.OrderAR := ARorder;
    res := Lm.Execute;
    If res <> 0 Then
        Debug.WriteLine(Lm.Errors);
    Else
        Debug.WriteLine("=== Fisher test ===");
        d0 := Lm.FTest.Statistic;
        Debug.WriteLine("value: " + d0.ToString);
        d0 := Lm.FTest.Probability;
        Debug.WriteLine("probability: " + d0.ToString);
        Debug.WriteLine("=== LM statistic ===");
        d0 := Lm.ChiTest.Statistic;
        Debug.WriteLine("value: " + d0.ToString);
        d0 := Lm.ChiTest.Probability;
        Debug.WriteLine("probability: " + d0.ToString);
        Debug.WriteLine("== Model coefficients ==");
        v := Lm.ModelCoefficients.Coefficients.Estimate;
        Print(v);
        Debug.WriteLine("== Constant ==");
        d0 := Lm.ModelCoefficients.Intercept.Estimate;
        Debug.WriteLine(d0.ToString);
    End If;
End Sub UserProc;

After executing the example console window displays results of test calculation taking into account selected autoregression:

=== Fisher Test ===
value: 1.2987001006937815
probability: 0.31805922153735455
=== LM-statistics ===
value: 2.2058808168278183
probability: 0.13748534485747116
== Model coefficients ==
---Begin---
0, 0,2371
1, -0,0855
2, -0,1312
3, -0,6181
---End---
== Constant ==
-271.10474686542312