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);
}
/// <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))));
}