About SuanShu API

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  • #5611
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    dayyoung0324
    Participant

    I wanna forecast a value by fitting an ARIMA model based on a time series of historical records. I’ve used the trial SuanShu 3.4.0 API. With this trial API, could I train ARMA model parameters and predict the next term value? Does the offical version of SuanShu provide some simple examples or user manual about ARIMA mode. I am new with Suanshu and any advise or help will be appreciated. Thank you.

    #5612
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    Ryu
    Participant

    The full version of SS has classes to estimate ARMA models. Please see these examples.

    http://redmine.numericalmethod.com/projects/public/repository/entry/Examples/src/main/java/com/numericalmethod/suanshu/examples/LinearTimeSeries.java

    But the free version does not allow using the statistical API. You may request a full one month trial license by emailing info [a t] nm [d o t] sg

    #5613
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    dayyoung0324
    Participant

    Thank you for your response.
    In ARMA modeling, the first step is to identify the model (i.e., the values of p for AR and q for MA) by looking at plots of the ACF and PACF. Is it possible to realize this step by SuanShu API (without figuring out these two plots)?

    #5614
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    Ryu
    Participant

    Here is what we/SuanShu suggests:

    1.
    Determine the lags (p and q) of the ARMA process and fit an ARMA(p, q) model. This is done by the usual ARMA fitting procedure., e.g., ConditionalSumOfSquares
    2.
    Select a suitable set of orders (P, Q) for the GARCH process. We can do this by looking at the PACF and ACF of the squared residuals and possibly use Ljung-Box test.
    3.
    Fit a pure GARCH(P, Q) model to the residuals using conditional MLE.
    4.
    Diagnostic checks.

    You can do all steps 1 – 4 in SuanShu by calling the appropriate classes.

    See this for more information:

    Question about ARMA in new C# version of Suanshu

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