Forum Numerical Method Statistics

about the definition of ArimaModel

alexcwyuParticipant 2011-01-29 at 8:46 pm

Hi, I am trying to use

com.numericalmethod.suanshu.stats.timeseries.univariate.stationaryprocess.arima.ArimaModel

the java doc says, for the parameters AR and MA: the AR coefficients (excluding the initial 1), what does it mean by ” excluding the initial 1″?
RyuParticipant 2011-01-30 at 12:03 am
Let’s say you have an AR(1) model like this: [tex]y_t = 0.5 * y_{t-1} + epsilon_t[/tex]

There is a 1.0 coefficient for [tex]y_t[/tex], but you don’t need to specify it.

Your code would look something like this:
```
<br />
        ArimaSim instance = new ArimaSim(1000,<br />
                new ArModel(new double[]{0.5}));<br />
```