/// <summary>
/// Perform Yule-Walker algorithm to the given timeseries data
/// </summary>
/// <param name="data"> input data </param>
/// <param name="p"> YuleWalker Parameter </param>
/// <returns> array of Auto-Regressive parameter estimates. Index 0 contains coefficient of lag 1 </returns>
//JAVA TO C# CONVERTER WARNING: 'final' parameters are not available in .NET:
//ORIGINAL LINE: public static double[] fit(final double[] data, final int p)
public static double[] fit(double[] data, int p)
{
int length = data.Length;
if (length == 0 || p < 1)
{
throw new Exception("fitYuleWalker - Invalid Parameters" + "length=" + length + ", p = " + p);
}
double[] r = new double[p + 1];
foreach (double aData in data)
{
r[0] += Math.Pow(aData, 2);
}
r[0] /= length;
for (int j = 1; j < p + 1; j++)
{
for (int i = 0; i < length - j; i++)
{
r[j] += data[i] * data[i + j];
}
r[j] /= (length);
}
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final TimeSeries.Forecast.matrix.InsightsMatrix toeplitz = TimeSeries.Forecast.timeseries.timeseriesutil.ForecastUtil.initToeplitz(java.util.Arrays.copyOfRange(r, 0, p));
InsightsMatrix toeplitz = ForecastUtil.initToeplitz(Utilities.CopyOfRange(r, 0, p));
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final TimeSeries.Forecast.matrix.InsightsVector rVector = new TimeSeries.Forecast.matrix.InsightsVector(java.util.Arrays.copyOfRange(r, 1, p + 1), false);
InsightsVector rVector = new InsightsVector(Utilities.CopyOfRange(r, 1, p + 1), false);
return(toeplitz.solveSPDIntoVector(rVector, ForecastUtil.maxConditionNumber).deepCopy());
}
public virtual void Arma2ma_test()
{
double[] ar = new double[] { 1.0, -0.25 };
double[] ma = new double[] { 1.0, 2.0 };
int lag = 10;
double[] ma_coeff = ForecastUtil.ARMAtoMA(ar, ma, lag);
double[] true_coeff = new double[] { 1.0, 2.0, 3.75, 3.25, 2.3125, 1.5, 0.921875, 0.546875, 0.31640625, 0.1796875 };
Assert.Equal(ma_coeff, true_coeff); //$!!$, 1e-6);
//Util.Equal(ma_coeff, true_coeff, 1e-6);
}
public static void Calc(Course request)
{
var result = new CourseResult();
var fund = request.Amount;
var periods = request.StopAtPeriod.HasValue ? request.StopAtPeriod : request.Period;
var forecast1 = ForecastUtil.Get(ForecastType.VariablePriceIndex);
var forecast2 = ForecastUtil.Get(ForecastType.PriceIndex);
var zeroInterest = forecast1.GetValue();
for (int i = 0; i < periods; i++)
{
var priceIndex =
request.WithForecast ?
forecast2.GetValue(request.StartMonth + i) / 12 :
forecast2.GetValue(1) / 12;
var baseInterest =
request.WithForecast ?
forecast1.GetValue(request.StartMonth + i) - zeroInterest :
0;
var rate = (request.Interest + baseInterest) / 12;
var pmt = -Utils.Pmt(rate / 100, request.Period - i, fund);
var interestPayment = fund * rate / 100;
var fundPayment = pmt - interestPayment;
var fundPaymentWithPriceIndex = fundPayment * Math.Pow(1 + (priceIndex / 100), i + 1);
var payment = new Payment
{
Period = i + 1,
InterestMonthPercentage = Utils.Round4(rate),
InterestYearPercentage = Utils.Round4(rate * 12),
PriceIndex = Utils.Round4(priceIndex),
PriceIndexPayment = Utils.Round2(fundPayment * (Math.Pow(1 + (priceIndex / 100), i + 1) - 1)),
InterestPayment = Utils.Round2(interestPayment),
TotalFund = Utils.Round2(fund),
TotalFundWithPriceIndex = Utils.Round2(fund * (1 + (priceIndex / 100))),
FundPayment = Utils.Round2(fundPayment),
FundPaymentWithPriceIndex = Utils.Round2(fundPaymentWithPriceIndex),
TotalPayment = Utils.Round2(fundPaymentWithPriceIndex + interestPayment),
};
result.Payments.Add(payment);
fund = fund - payment.FundPayment;
}
request.Result = result;
}
public static void Calc(Course request)
{
var result = new CourseResult();
var fund = request.Amount;
var forecast = ForecastUtil.Get(ForecastType.Prime);
request.StopAtPeriod = request.Recycle == null ? (int?)null : request.Recycle.FromMonth - 1;
var periods = request.StopAtPeriod.HasValue ? request.StopAtPeriod : request.Period;
var boiInterest = forecast.GetValue();
for (int i = 0; i < periods; i++)
{
var baseInterest = request.WithForecast ?
forecast.GetValue(request.StartMonth + i) - boiInterest :
0;
var rate = (baseInterest + request.Interest) / 12;
var pmt = -Utils.Pmt(rate / 100, request.Period - i, fund);
var interest = fund * rate / 100;
var payment = new Payment
{
Period = i + request.StartMonth,
InterestMonthPercentage = Utils.Round4(rate),
InterestYearPercentage = Utils.Round4(rate * 12),
TotalPayment = Utils.Round2(pmt),
FundPayment = Utils.Round2(pmt - interest),
InterestPayment = Utils.Round2(interest),
TotalFund = Utils.Round2(fund),
};
payment.TotalFundWithPriceIndex = payment.TotalFund;
payment.FundPaymentWithPriceIndex = payment.FundPayment;
result.Payments.Add(payment);
fund = fund - payment.FundPayment;
}
request.Result = result;
if (request.Recycle != null)
{
Recycle(request);
}
}
/// <summary>
/// Set Sigma2(RMSE) and Predication Interval for forecast result.
/// </summary>
/// <param name="params"> ARIMA parameters </param>
/// <param name="forecastResult"> MODIFIED. forecast result </param>
/// <param name="forecastSize"> size of forecast </param>
/// <returns> max normalized variance </returns>
//JAVA TO C# CONVERTER WARNING: 'final' parameters are not available in .NET:
//ORIGINAL LINE: public static double setSigma2AndPredicationInterval(final TimeSeries.Forecast.TimeSeries.Arima.struct.ArimaParams params, final TimeSeries.Forecast.TimeSeries.Arima.struct.ForecastResult forecastResult, final int forecastSize)
public static double setSigma2AndPredicationInterval(ArimaParams @params, ForecastResult forecastResult, int forecastSize)
{
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double[] coeffs_AR = params.getCurrentARCoefficients();
double[] coeffs_AR = @params.CurrentARCoefficients;
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double[] coeffs_MA = params.getCurrentMACoefficients();
double[] coeffs_MA = @params.CurrentMACoefficients;
return(forecastResult.SetConfInterval(ForecastUtil.confidence_constant_95pct, ForecastUtil.getCumulativeSumOfCoeff(ForecastUtil.ARMAtoMA(coeffs_AR, coeffs_MA, forecastSize))));
}