NDK_SARIMAX_FITTED

Returns an array of cells for the fitted values (i.e. mean, volatility and residuals)

Returns

status code of the operation

Return values

NDK_SUCCESS	Operation successful
NDK_FAILED	Operation unsuccessful. See Macros for full list.

Parameters

[in,out]	pData	is the univariate time series data (a one dimensional array).
[in]	pFactors	is the exogneous factors time series data (each column is a separate factor, and each row is an observation).
[in]	nSize	is the number of observations.
[in]	nFactors	is the number of exognous factors
[in]	fBetas	is the weights or loading of the exogneous factors
[in]	mean	is the ARIMA/SARIMA model's long-run mean/trend (i.e. mu). If missing (i.e. NaN), then it is assumed zero.
[in]	sigma	is the standard deviation of the model's residuals/innovations.
[in]	nIntegral	is the non-seasonal difference order
[in]	phis	are the coefficients's values of the non-seasonal AR component
[in]	p	is the order of the non-seasonal AR component
[in]	thetas	are the coefficients's values of the non-seasonal MA component
[in]	q	is the order of the non-seasonal MA component
[in]	nSIntegral	is the seasonal difference
[in]	nSPeriod	is the number of observations per one period (e.g. 12=Annual, 4=Quarter)
[in]	sPhis	are the coefficients's values of the seasonal AR component
[in]	sP	is the order of the seasonal AR component
[in]	sThetas	are the coefficients's values of the seasonal MA component
[in]	sQ	is the order of the seasonal MA component
[in]	retType	is a switch to select a output type Order  Description 1  Fitted mean (default) 2  Fitted standard deviation or volatility 3  Raw (non-standardized) residuals 4  Standardized residuals

Remarks

1. The underlying model is described here.
2. The time series is homogeneous or equally spaced
3. The time series may include missing values (e.g. NaN) at either end.

Requirements

Header	SFSDK.H
Library	SFSDK.LIB
DLL	SFSDK.DLL

Examples