/// <summary>
/// Constructor for ArimaParams
/// </summary>
/// <param name="p"> ARIMA parameter, the order (number of time lags) of the autoregressive model </param>
/// <param name="d"> ARIMA parameter, the degree of differencing </param>
/// <param name="q"> ARIMA parameter, the order of the moving-average model </param>
/// <param name="P"> ARIMA parameter, autoregressive term for the seasonal part </param>
/// <param name="D"> ARIMA parameter, differencing term for the seasonal part </param>
/// <param name="Q"> ARIMA parameter, moving average term for the seasonal part </param>
/// <param name="m"> ARIMA parameter, the number of periods in each season </param>
public ArimaParams(int p, int d, int q, int P, int D, int Q, int m)
{
this.p = p;
this.d = d;
this.q = q;
this.P = P;
this.D = D;
this.Q = Q;
this.m = m;
// dependent states
this._opAR = NewOperatorAR;
this._opMA = NewOperatorMA;
_opAR.initializeParams(false);
_opMA.initializeParams(false);
this._dp = _opAR.Degree;
this._dq = _opMA.Degree;
this._np = _opAR.numParams();
this._nq = _opMA.numParams();
//JAVA TO C# CONVERTER NOTE: The following call to the 'RectangularArrays' helper class reproduces the rectangular array initialization that is automatic in Java:
//ORIGINAL LINE: this._init_seasonal = (D > 0 && m > 0) ? new double[D][m] : null;
this._init_seasonal = (D > 0 && m > 0) ? RectangularArrays.ReturnRectangularDoubleArray(D, m) : null;
//JAVA TO C# CONVERTER NOTE: The following call to the 'RectangularArrays' helper class reproduces the rectangular array initialization that is automatic in Java:
//ORIGINAL LINE: this._init_non_seasonal = (d > 0) ? new double[d][1] : null;
this._init_non_seasonal = (d > 0) ? RectangularArrays.ReturnRectangularDoubleArray(d, 1) : null;
this._diff_seasonal = (D > 0 && m > 0) ? new double[D][] : null;
this._diff_non_seasonal = (d > 0) ? new double[d][] : null;
this._integrate_seasonal = (D > 0 && m > 0) ? new double[D][] : null;
this._integrate_non_seasonal = (d > 0) ? new double[d][] : null;
}
//JAVA TO C# CONVERTER WARNING: 'final' parameters are not available in .NET:
//ORIGINAL LINE: private static double[] applyYuleWalkerAndGetInitialErrors(final double[] data, final int r, final int length, final double[] errors)
private static double[] applyYuleWalkerAndGetInitialErrors(double[] data, int r, int length, double[] errors)
{
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double[] yuleWalker = YuleWalker.fit(data, r);
double[] yuleWalker = YuleWalker.fit(data, r);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final TimeSeries.Forecast.TimeSeries.Arima.struct.BackShift bsYuleWalker = new TimeSeries.Forecast.TimeSeries.Arima.struct.BackShift(r, true);
BackShift bsYuleWalker = new BackShift(r, true);
bsYuleWalker.initializeParams(false);
// return array from YuleWalker is an array of size r whose
// 0-th index element is lag 1 coefficient etc
// hence shifting lag index by one and copy over to BackShift operator
for (int j = 0; j < r; ++j)
{
bsYuleWalker.setParam(j + 1, yuleWalker[j]);
}
int m = 0;
// populate error array
while (m < r)
{
errors[m++] = 0;
} // initial r-elements are set to zero
while (m < length)
{
// from then on, initial estimate of error terms are
// Z_t = X_t - \phi_1 X_{t-1} - \cdots - \phi_r X_{t-r}
errors[m] = data[m] - bsYuleWalker.getLinearCombinationFrom(data, m);
++m;
}
return(yuleWalker);
}
private BackShift mergeSeasonalWithNonSeasonal(int nonSeasonalLag, int seasonalLag, int seasonalStep)
{
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final BackShift nonSeasonal = new BackShift(nonSeasonalLag, true);
BackShift nonSeasonal = new BackShift(nonSeasonalLag, true);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final BackShift seasonal = new BackShift(seasonalLag * seasonalStep, false);
BackShift seasonal = new BackShift(seasonalLag * seasonalStep, false);
for (int s = 1; s <= seasonalLag; ++s)
{
seasonal.setIndex(s * seasonalStep, true);
}
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final BackShift merged = seasonal.apply(nonSeasonal);
BackShift merged = seasonal.apply(nonSeasonal);
return(merged);
}
