public List <List <double> > solveCoeOfARMA()
{
List <List <double> > vec = new List <List <double> >();
ARMAMath ar_math = new ARMAMath();
List <double> armaCoe = new List <double>(ar_math.computeARMACoe(this.data, p, q));
List <double> arCoe = new List <double>(this.p + 1);
List <double> maCoe = new List <double>(this.q + 1);
for (int i = 0; i <= this.p; i++)
{
arCoe.Add(0);
}
for (int i = 0; i <= this.q; i++)
{
maCoe.Add(0);
}
for (int i = 0; i < arCoe.Count; i++)
{
arCoe[i] = armaCoe[i];
}
for (int i = 0; i < maCoe.Count; i++)
{
maCoe[i] = armaCoe[i + this.p + 1];
}
vec.Add(arCoe);
vec.Add(maCoe);
return(vec);
}
public List <List <double> > solveCoeOfAR()
{
List <List <double> > vec = new List <List <double> >();
ARMAMath ar_math = new ARMAMath();
List <double> arCoe = new List <double>(ar_math.computeARCoe(this.data, this.p));
vec.Add(arCoe);
return(vec);
}
public List <int> getARIMAModel(int period, List <List <int> > notModel, bool needNot)
{
List <double> data = this.preDealDiff(period);
//for(int i=0;i<data.size();i++) std::cout<<data[i]<<std::endl;
double minAIC = 1.7976931348623157E308;
List <int> bestModel = new List <int>(3);
for (int i = 0; i < 3; i++)
{
bestModel.Add(0);
}
int type = 0;
List <List <double> > coe = new List <List <double> >();
// model产生, 即产生相应的p, q参数
int len = data.Count;
if (len > 5)
{
len = 5;
}
int size = ((len + 2) * (len + 1)) / 2 - 1;
List <List <int> > model = new List <List <int> >(size);
for (int i = 0; i < size; i++)
{
List <int> pn = new List <int>(size);
for (int j = 0; j < size; j++)
{
pn.Add(0);
}
model.Add(pn);
}
int cnt = 0;
for (int i = 0; i <= len; ++i)
{
for (int j = 0; j <= len - i; ++j)
{
if (i == 0 && j == 0)
{
continue;
}
model[cnt][0] = i;
model[cnt++][1] = j;
}
}
//std::cout<<size<<std::endl;
for (int i = 0; i < cnt; ++i)
{
// 控制选择的参数
bool token = false;
if (needNot)
{
for (int k = 0; k < notModel.Count; ++k)
{
if (model[i][0] == notModel[k][0] && model[i][1] == notModel[k][1])
{
token = true;
break;
}
}
}
if (token)
{
continue;
}
if (model[i][0] == 0)
{
MAModel ma = new MAModel(data, model[i][1]);
//List<List<double>>
coe = ma.solveCoeOfMA();
// std::cout<<i<<coe.size()<<std::endl;
//for(int ks=0;ks<ma.solveCoeOfMA().size();ks++) tmp.push_back(ma.solveCoeOfMA()[ks]);
//coe.assign(tmp.begin(),tmp.end());
type = 1;
}
else if (model[i][1] == 0)
{
ARModel ar = new ARModel(data, model[i][0]);
//List<List<double>> tmp(
coe = ar.solveCoeOfAR();
// std::cout<<i<<coe.size()<<std::endl;
//for(int ks=0;ks<ar.solveCoeOfAR().size();ks++) tmp.push_back(ar.solveCoeOfAR()[ks]);
//coe.assign(tmp.begin(),tmp.end());
type = 2;
}
else
{
//std::cout<<i<<model[i][0]<<" "<<model[i][1]<<std::endl;
ARMAModel arma = new ARMAModel(data, model[i][0], model[i][1]);;
//List<List<double>> tmp(
coe = arma.solveCoeOfARMA();
// std::cout<<i<<coe.size()<<std::endl;
//for(int ks=0;ks<arma.solveCoeOfARMA().size();ks++) tmp.push_back(arma.solveCoeOfARMA()[ks]);
//coe.assign(tmp.begin(),tmp.end());
type = 3;
}
ARMAMath ar_math = new ARMAMath();
double aic = ar_math.getModelAIC(coe, data, type);
//std::cout<<aic<<std::endl;
// 在求解过程中如果阶数选取过长，可能会出现NAN或者无穷大的情况
if (aic <= 1.7976931348623157E308 && !Double.IsNaN(aic) && aic < minAIC)
{
minAIC = aic;
// std::cout<<aic<<std::endl;
bestModel[0] = model[i][0];
bestModel[1] = model[i][1];
bestModel[2] = (int)Math.Round(minAIC);
this.arima = coe;
}
}
return(bestModel);
}
