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  • #2666
    hessinemaaoui
    Keymaster

    Hi,

    I have an example for a bivariate series with n=2, p=2, and q=0 and i wanna estimate N+1. value by fitting an VARMA model.
    I’ve used suanshu.net-2.6.0 for the below code.
    I’ve fitted a model but i got an exception on this line
    instance = new VARMAForecastOneStep(X_T, varmaModel);
    and i don’t know how to estimate the next term. I’m new with Suanshu and any help or advise will be appreciated.

    Exception :

    at com.numericalmethod.suanshu.misc.ArgumentAssertion.assertTrue(Boolean condition, String errorMessage, Object[] args)
    at com.numericalmethod.suanshu.stats.timeseries.linear.multivariate.stationaryprocess.arma.VARMAAutoCovariance..ctor(VARMAModel model, Int32 nLags)
    at com.numericalmethod.suanshu.stats.timeseries.linear.multivariate.stationaryprocess.arma.VARMAForecastOneStep..ctor(MultivariateIntTimeTimeSeries Xt, VARMAModel model)

    code:
    X_T = new MultivariateSimpleTimeSeries(
    new double[][]{
    new double[]{1, 50},
    new double[]{2, 60},
    new double[]{3, 70},
    new double[]{4, 80},
    new double[]{5, 90},
    new double[]{6, 100},
    new double[]{7, 110},
    new double[]{8, 120},
    new double[]{9, 130},
    new double[]{10, 140},
    new double[]{11, 150},
    new double[]{12, 160},
    new double[]{13, 170},
    new double[]{14, 180},
    new double[]{15, 190},
    new double[]{16, 200},
    new double[]{17, 210},
    new double[]{18, 220},
    new double[]{19, 230},
    new double[]{20, 240}

    });

    VARFitting fitting = new VARFitting(X_T, 2);

    VARMAModel varmaModel = fitting.getVARMA();
    VARMAForecastOneStep instance = null;
    try
    {
    instance = new VARMAForecastOneStep(X_T, varmaModel);
    int T = X_T.size();
    Vector xTHat = instance.xHat(T + 1);
    Matrix V = instance.covariance(T);
    Console.Write(“Predictor at time ” + T + “: ” + xTHat + “, covariance of errors: ” + V);
    Console.Write(“\n”);
    }catch(Exception e){
    Console.WriteLine(“\nStackTrace —\n{0}”, e.StackTrace);
    }

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