ARMAView¶

class ARMAView : public tsa::BaseView¶
ARMA view: container for (vectorial) ARMA processes.
A view for ARMA parametrization. It defines a general (V)ARMA process, which can be written as
\[ \sum_{k=0}^{p} A^{(k)} \vec{y}_{nk} = \sum_{k=0}^{q} B^{(k)} \vec{x}_{nk} \]where A,B are square matrix of dimension d equal to the dimension of the input and output vectors x,y. If the order of the part MA q is equal to zero the process is an AR process. If the order of the AR part p is equal to zero the process is an MA process. Note that the matrix \(A^{(0)}\) is assumed to be the identity.Setters

inline void SetAR(int i, double v, unsigned int channel = 0)¶
This method sets the value of the AR[i] coefficient for one of the channels. It is assumed that the VARMA process is diagonal, which means that there is and independent ARMA process for each channel.
 Parameters:
i – the index of the AR part
v – the new value of AR[i]
channel – the channel

inline void SetMA(int i, double v, unsigned int channel = 0)¶
This method sets the value of the MA[i] coefficient for one of the channels. It is assumed that the VARMA process is diagonal, which means that there is and independent ARMA process for each channel.
 Parameters:
i – the index of the MA part
v – the new value of MA[i]
channel – the channel

inline void SetVAR(int i, double v, unsigned int channel1, unsigned int channel2)¶
This method sets the value of the \(A^{(i)}_{jk}\) coefficient for the VARMA process
 Parameters:
i – the index of the VAR coefficient
v – the new value of \(A^{(i)}_{jk}\)
channel1 – the first channel (index j)
channel2 – the se channel (index k)

inline void SetVMA(int i, double v, unsigned int channel1, unsigned int channel2)¶
This method sets the value of the \(B^{(i)}_{jk}\) coefficient for the VARMA process
 Parameters:
i – the index of the VAR coefficient
v – the new value of \(B^{(i)}_{jk}\)
channel1 – the first channel (index j)
channel2 – the se channel (index k)

inline void SetOrder(unsigned int maxP, unsigned int maxQ)¶
This methods sets the order (p,q) of the (V)ARMA process
 Parameters:
maxP – the order of the AR part of the process
maxQ – the order of the MA part of the process

inline void SetChannels(unsigned int channels)¶
This method sets the dimension of the VARMA process
 Parameters:
channels – the dimension of the VARMA process
Getters

inline const double &GetAR(int i, unsigned int channel = 0) const¶
This method gives the value of the AR[i] coefficient for one of the channels. It is assumed that the VARMA process is diagonal, which means that there is and independent ARMA process for each channel.
 Parameters:
i – the index of the AR coefficient
channel – the channel
 Returns:
the value of the AR[i] coefficient

inline const double &GetMA(int i, unsigned int channel = 0) const¶
This method gives the value of the MA[i] coefficient for one of the channels. It is assumed that the VARMA process is diagonal, which means that there is and independent ARMA process for each channel.
 Parameters:
i – the index of the MA coefficient
channel – the channel
 Returns:
the value of the MA[i] coefficient

inline const double &GetVAR(int i, unsigned int channel1, unsigned int channel2) const¶
This method gives the value of the \(A^{(i)}_{jk}\) coefficient for the VARMA process
 Parameters:
i – the index of the VAR coefficient
channel1 – the first channel (index j)
channel2 – the se channel (index k)
 Returns:
the value of the coefficient \(A^{(i)}_{jk}\)

inline const double &GetVMA(int i, unsigned int channel1, unsigned int channel2) const¶
This method gives the value of the \(B^{(i)}_{jk}\) coefficient for the VARMA process
 Parameters:
i – the index of the VMA coefficient
channel1 – the first channel (index j)
channel2 – the se channel (index k)
 Returns:
the value of the coefficient \(B^{(i)}_{jk}\)

inline unsigned int GetArOrder() const¶
Get the order of the AR part of the process.
 Returns:
the order of the AR part of the process

inline unsigned int GetMaOrder() const¶
Get the order of the MA part of the process.
 Returns:
the order of the MA part of the process

inline unsigned int GetChannels() const¶
Get the dimension of the VARMA process.
 Returns:
the dimension of the VARMA process
Public Functions

inline ARMAView(unsigned int maxP, unsigned int maxQ, int channels = 1)¶
Constructor
 Parameters:
maxP – the order of the AR part
maxQ – the order of the MA part
channels – the dimension of

inline ARMAView(const ARMAView &from)¶
Copy constructor
 Parameters:
from – The instance that must be copied

inline ~ARMAView()¶
Destructor

inline void Load(const char *filename, const char *fmt = "txt")¶

inline void Save(const char *filename, const char *fmt = "txt")¶

inline void xml_serialize(eternity::xml_archive &xml, const char *prefix)¶

inline void SetAR(int i, double v, unsigned int channel = 0)¶