public bool AuxiliaryFunction(int index, out object output)
{
var approx = new ARMAModel(0, maxLag); // we should be able to get close with an MA
var hlds = new HaltonSequence(maxLag);
double bestError = double.MaxValue;
var bestMAPolynomial = Vector <double> .Build.Dense(maxLag);//new Polynomial(maxLag);
for (int i = 0; i < 200000; ++i)
{
var cube = hlds.GetNext(); // this is the MA part to try in the ARMA
var curCube = approx.ParameterToCube(approx.Parameters); // el. 0=mu, el. 1=d, el. 2=sigma
for (int j = 0; j < maxLag; ++j)
{
curCube[j + 3] = cube[j];
}
approx.SetParameters(approx.CubeToParameter(curCube));
// now compare autocorrelation function (don't care about mean or sigma)
var acf = approx.ComputeACF(maxLag, true);
double error = 0;
for (int j = 0; j < maxLag; ++j)
{
error += Math.Abs(acf[j + 1] - Rho(j));
}
if (error < bestError)
{
bestError = error;
bestMAPolynomial = approx.GetMAPolynomial();
}
}
approx.SetMAPolynomial(bestMAPolynomial);
approx.Mu = Mu;
output = approx;
return(true);
}
