/// <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());
}
//JAVA TO C# CONVERTER WARNING: 'final' parameters are not available in .NET:
//ORIGINAL LINE: private static TimeSeries.Forecast.matrix.InsightsVector iterationStep(final TimeSeries.Forecast.TimeSeries.Arima.struct.ArimaParams params, final double[] data, final double[] errors, final double[][] matrix, final int r, final int length, final int size)
private static InsightsVector iterationStep(ArimaParams @params, double[] data, double[] errors, double[][] matrix, int r, int length, int size)
{
int rowIdx = 0;
// copy over shifted timeseries data into matrix
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final int[] offsetsAR = params.getOffsetsAR();
int[] offsetsAR = @params.OffsetsAR;
foreach (int pIdx in offsetsAR)
{
Array.Copy(data, r - pIdx, matrix[rowIdx], 0, size);
++rowIdx;
}
// copy over shifted errors into matrix
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final int[] offsetsMA = params.getOffsetsMA();
int[] offsetsMA = @params.OffsetsMA;
foreach (int qIdx in offsetsMA)
{
Array.Copy(errors, r - qIdx, matrix[rowIdx], 0, size);
++rowIdx;
}
// instantiate matrix to perform least squares algorithm
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final TimeSeries.Forecast.matrix.InsightsMatrix zt = new TimeSeries.Forecast.matrix.InsightsMatrix(matrix, false);
InsightsMatrix zt = new InsightsMatrix(matrix, false);
// instantiate target vector
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double[] vector = new double[size];
double[] vector = new double[size];
Array.Copy(data, r, vector, 0, size);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final TimeSeries.Forecast.matrix.InsightsVector x = new TimeSeries.Forecast.matrix.InsightsVector(vector, false);
InsightsVector x = new InsightsVector(vector, false);
// obtain least squares solution
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final TimeSeries.Forecast.matrix.InsightsVector ztx = zt.timesVector(x);
InsightsVector ztx = zt.timesVector(x);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final TimeSeries.Forecast.matrix.InsightsMatrix ztz = zt.computeAAT();
InsightsMatrix ztz = zt.computeAAT();
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final TimeSeries.Forecast.matrix.InsightsVector estimatedVector = ztz.solveSPDIntoVector(ztx, TimeSeries.Forecast.timeseries.timeseriesutil.ForecastUtil.maxConditionNumber);
InsightsVector estimatedVector = ztz.solveSPDIntoVector(ztx, ForecastUtil.maxConditionNumber);
return(estimatedVector);
}
public virtual void SolverTestSimple()
{
double[][] A = new double[][]
{
new double[] { 2.0 }
};
double[] B = new double[] { 4.0 };
double[] solution = new double[] { 2.0 };
InsightsMatrix im = new InsightsMatrix(A, true);
InsightsVector iv = new InsightsVector(B, true);
InsightsVector solved = im.solveSPDIntoVector(iv, -1);
for (int i = 0; i < solved.size(); i++)
{
Assert.True(solved.get(i) == solution[i]);
}
}