ARMAView

class ARMAView : public tsa::BaseView

ARMA view: container for (vectorial) ARMA processes.

A view for ARMA parametrization. It defines a general (V)ARMA process, which can be written as

\[ \sum_{k=0}^{p} A^{(k)} \vec{y}_{n-k} = \sum_{k=0}^{q} B^{(k)} \vec{x}_{n-k} \]
where A,B are square matrix of dimension d equal to the dimension of the input and output vectors x,y. If the order of the part MA q is equal to zero the process is an AR process. If the order of the AR part p is equal to zero the process is an MA process. Note that the matrix \(A^{(0)}\) is assumed to be the identity.

Getters

const double &GetAR(int i, unsigned int channel = 0) const

This method gives the value of the AR[i] coefficient for one of the channels. It is assumed that the VARMA process is diagonal, which means that there is and independent ARMA process for each channel.

Return

the value of the AR[i] coefficient

Parameters

  • i: the index of the AR coefficient

  • channel: the channel

const double &GetMA(int i, unsigned int channel = 0) const

This method gives the value of the MA[i] coefficient for one of the channels. It is assumed that the VARMA process is diagonal, which means that there is and independent ARMA process for each channel.

Return

the value of the MA[i] coefficient

Parameters

  • i: the index of the MA coefficient

  • channel: the channel

const double &GetVAR(int i, unsigned int channel1, unsigned int channel2) const

This method gives the value of the \(A^{(i)}_{jk}\) coefficient for the VARMA process

Return

the value of the coefficient \(A^{(i)}_{jk}\)

Parameters

  • i: the index of the VAR coefficient

  • channel1: the first channel (index j)

  • channel2: the se channel (index k)

const double &GetVMA(int i, unsigned int channel1, unsigned int channel2) const

This method gives the value of the \(B^{(i)}_{jk}\) coefficient for the VARMA process

Return

the value of the coefficient \(B^{(i)}_{jk}\)

Parameters

  • i: the index of the VMA coefficient

  • channel1: the first channel (index j)

  • channel2: the se channel (index k)

unsigned int GetArOrder() const

Get the order of the AR part of the process.

Return

the order of the AR part of the process

unsigned int GetMaOrder() const

Get the order of the MA part of the process.

Return

the order of the MA part of the process

unsigned int GetChannels() const

Get the dimension of the VARMA process.

Return

the dimension of the VARMA process

Setters

void SetAR(int i, double v, unsigned int channel = 0)

This method sets the value of the AR[i] coefficient for one of the channels. It is assumed that the VARMA process is diagonal, which means that there is and independent ARMA process for each channel.

Parameters

  • i: the index of the AR part

  • v: the new value of AR[i]

  • channel: the channel

void SetMA(int i, double v, unsigned int channel = 0)

This method sets the value of the MA[i] coefficient for one of the channels. It is assumed that the VARMA process is diagonal, which means that there is and independent ARMA process for each channel.

Parameters

  • i: the index of the MA part

  • v: the new value of MA[i]

  • channel: the channel

void SetVAR(int i, double v, unsigned int channel1, unsigned int channel2)

This method sets the value of the \(A^{(i)}_{jk}\) coefficient for the VARMA process

Parameters

  • i: the index of the VAR coefficient

  • v: the new value of \(A^{(i)}_{jk}\)

  • channel1: the first channel (index j)

  • channel2: the se channel (index k)

void SetVMA(int i, double v, unsigned int channel1, unsigned int channel2)

This method sets the value of the \(B^{(i)}_{jk}\) coefficient for the VARMA process

Parameters

  • i: the index of the VAR coefficient

  • v: the new value of \(B^{(i)}_{jk}\)

  • channel1: the first channel (index j)

  • channel2: the se channel (index k)

void SetOrder(unsigned int maxP, unsigned int maxQ)

This methods sets the order (p,q) of the (V)ARMA process

Parameters

  • maxP: the order of the AR part of the process

  • maxQ: the order of the MA part of the process

void SetChannels(unsigned int channels)

This method sets the dimension of the VARMA process

Parameters

  • channels: the dimension of the VARMA process

Public Functions

ARMAView(unsigned int maxP, unsigned int maxQ, int channels = 1)

Constructor

Parameters

  • maxP: the order of the AR part

  • maxQ: the order of the MA part

  • channels: the dimension of

ARMAView(const ARMAView &from)

Copy constructor

Parameters

  • from: The instance that must be copied

~ARMAView()

Destructor