The ARMAOutlierIdentification type exposes the following members.
Constructors
Name | Description | |
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ARMAOutlierIdentification |
Constructor for ARMAOutlierIdentification.
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Methods
Name | Description | |
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Compute |
Detects and determines outliers and simultaneously estimates the model
parameters for the given time series.
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ComputeForecasts |
Computes forecasts, associated probability limits and
weights for an outlier contaminated time series whose underlying outlier free
series obeys a general seasonal or non-seasonal ARMA model.
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Equals | (Inherited from Object.) | |
Finalize |
Allows an Object to attempt to free resources and perform other cleanup operations before the Object is reclaimed by garbage collection.
(Inherited from Object.) | |
GetAR |
Returns the final autoregressive parameter estimates.
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GetDeviations |
Returns the deviations used for calculating the
forecast confidence limits.
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GetForecast |
Returns forecasts for the original outlier contaminated series.
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GetHashCode |
Serves as a hash function for a particular type.
(Inherited from Object.) | |
GetMA |
Returns the final moving average parameter estimates.
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GetOmegaWeights |
Returns the weights for the
detected outliers.
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GetOutlierFreeForecast |
Returns forecasts for the outlier free series.
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GetOutlierFreeSeries |
Returns the outlier free series.
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GetOutlierStatistics |
Returns the outlier statistics.
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GetPsiWeights |
Returns the weights of the infinite order moving average
form of the model.
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GetResidual |
Returns the residuals.
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GetTauStatistics |
Returns the t value for each detected outlier.
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GetType |
Gets the Type of the current instance.
(Inherited from Object.) | |
MemberwiseClone |
Creates a shallow copy of the current Object.
(Inherited from Object.) | |
ToString | (Inherited from Object.) |
Fields
Name | Description | |
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ADDITIVE |
Indicates detection of an additive outlier.
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INNOVATIONAL |
Indicates detection of an innovational outlier.
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LEVEL_SHIFT |
Indicates detection of a level shift outlier.
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TEMPORARY_CHANGE |
Indicates detection of a temporary change outlier.
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UNABLE_TO_IDENTIFY |
Indicates detection of an outlier that cannnot be categorized.
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Properties
Name | Description | |
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AccuracyTolerance |
The tolerance value controlling the accuracy of the parameter estimates.
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AIC |
Returns Akaike's information criterion (AIC).
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AICC |
Returns Akaike's Corrected Information Criterion (AICC).
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BIC |
Returns the Bayesian Information Criterion (BIC).
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Confidence |
The confidence level for calculating confidence
limit deviations via method GetDeviations.
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Constant |
Returns the constant parameter estimate.
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CriticalValue |
The critical value used as a threshold during outlier detection.
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Delta |
The dampening effect parameter.
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NumberOfOutliers |
Returns the number of outliers detected.
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RelativeError |
The stopping criterion for use in the nonlinear equation solver.
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ResidualStandardError |
Returns the residual standard error of the outlier free series.
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