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public interface InformationCriterionEstimator
An autoregressive (AR) process can be represented as
y(t)=a_1*y(t-1)+...+a_p*y(t-p)+e_t, t=1,...,Twhere
a_i, i=,1,...,p
are autoregressive parameters,e_t ~ N(0, sigma^2)
,
and p
is the lag order.
The AR lag order can selected so that it minimises certain Information Criterion (IC), such as
For notation and IC formulae see V. Khim-Sen Liew, Economics Bulletin (2004), Vol. 3, 33, 1-9.
Method Summary | |
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void |
addData(double[] y)
Adds sample data |
double |
estimateIC(int lag)
Estimates the IC value for a given lag order |
int |
minimiseIC(int minLag,
int maxLag)
Minimise the IC value for a given lag order interval |
Method Detail |
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void addData(double[] y)
y
- the array of size T representing the y sampledouble estimateIC(int lag)
lag
- the lag order used
int minimiseIC(int minLag, int maxLag)
minLag
- the minimum lag order usedmaxLag
- the maximum lag order used
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