NAG Toolbox: nag_tsa_multi_inputmod_forecast (g13bj)

Purpose

Syntax

Description

References

Parameters

Compulsory Input Parameters

1:     $\mathrm{mr}\left(7\right)$ – int64int32nag_int array

The orders vector $\left(p,d,q,P,D,Q,s\right)$ of the ARIMA model for the output noise component.

$p$, $q$, $P$ and $Q$ refer respectively to the number of autoregressive $\left(\varphi \right)$, moving average $\left(\theta \right)$, seasonal autoregressive $\left(\Phi \right)$ and seasonal moving average $\left(\Theta \right)$ parameters.

$d$, $D$ and $s$ refer respectively to the order of non-seasonal differencing, the order of seasonal differencing and the seasonal period.

Constraints:

• $p$, $d$, $q$, $P$, $D$, $Q$, $s\ge 0$;
• $p+q+P+Q>0$;
• $s\ne 1$;
• if $s=0$, $P+D+Q=0$;
• if $s>1$, $P+D+Q>0$;
• $d+s\times \left(P+D\right)\le n$;
• $p+d-q+s\times \left(P+D-Q\right)\le n$.

2:     $\mathrm{mt}\left(4,\mathbf{nser}\right)$ – int64int32nag_int array

The transfer function model orders $b$, $p$ and $q$ of each of the input series. The data for input series $i$ is held in column $i$. Row 1 holds the value $b_i$, row 2 holds the value $q_i$ and row 3 holds the value $p_i$.

For a simple input, $b_i=q_i=p_i=0$.

Row 4 holds the value $r_i$, where $r_i=1$ for a simple input, and $r_i=2\text{ or }3$ for a transfer function input.

The choice $r_i=3$ leads to estimation of the pre-period input effects as nuisance parameters, and $r_i=2$ suppresses this estimation. This choice may affect the returned forecasts and the state set.

When $r_i=1$, any nonzero contents of rows 1, 2 and 3 of column $i$ are ignored.

Constraint: $\mathbf{mt}\left(4,\mathit{i}\right)=1$, $2$ or $3$, for $\mathit{i}=1,2,\dots ,\mathbf{nser}-1$.

3:     $\mathrm{para}\left(\mathbf{npara}\right)$ – double array

Estimates of the multi-input model parameters. These are in order, firstly the ARIMA model parameters: $p$ values of $\varphi$ parameters, $q$ values of $\theta$ parameters, $P$ values of $\Phi$ parameters, $Q$ values of $\Theta$ parameters.

These are followed by the transfer function model parameter values ${\omega }_0,{\omega }_1,\dots ,{\omega }_{q_1}$, ${\delta }_1,\dots ,{\delta }_{p_1}$ for the first of any input series and similarly for each subsequent input series. The final component of para is the value of the constant $c$.

4:     $\mathrm{kfc}$ – int64int32nag_int scalar

Must be set to $1$ if the constant was estimated when the model was fitted, and $0$ if it was held at a fixed value. This only affects the degrees of freedom used in calculating the estimated residual variance.

Constraint: $\mathbf{kfc}=0$ or $1$.

5:     $\mathrm{nev}$ – int64int32nag_int scalar

The number of original (undifferenced) values in each of the input and output time series.

6:     $\mathrm{nfv}$ – int64int32nag_int scalar

The number of forecast values of the output series required.

Constraint: $\mathbf{nfv}>0$.

7:     $\mathrm{xxy}\left(\mathit{ldxxy},\mathbf{nser}\right)$ – double array

ldxxy, the first dimension of the array, must satisfy the constraint $\mathit{ldxxy}\ge \left(\mathbf{nev}+\mathbf{nfv}\right)$.

The columns of xxy must contain in the first nev places, the past values of each of the input and output series, in that order. In the next nfv places, the columns relating to the input series (i.e., columns $1$ to $\mathbf{nser}-1$) contain the future values of the input series which are necessary for construction of the forecasts of the output series $y$.

8:     $\mathrm{kzef}$ – int64int32nag_int scalar

Must be set to $0$ if the relevant nfv values of the forecasts (fva) are to be held in the output series column (nser) of xxy (which is otherwise unchanged) on exit, and must not be set to $0$ if the values of the input component series $z_t$ and the values of the output noise component $n_t$ are to overwrite the contents of xxy on exit.

9:     $\mathrm{rmsxy}\left(\mathbf{nser}\right)$ – double array

The first $\left(\mathbf{nser}-1\right)$ elements of rmsxy must contain the estimated residual variance of the input series ARIMA models. In the case of those inputs for which no ARIMA model is available or its effects are to be excluded in the calculation of forecast standard errors, the corresponding entry of rmsxy should be set to $0$.

10:   $\mathrm{mrx}\left(7,\mathbf{nser}\right)$ – int64int32nag_int array

The orders array for each of the input series ARIMA models. Thus, column $i$ contains values of $p$, $d$, $q$, $P$, $D$, $Q$, $s$ for input series $i$. In the case of those inputs for which no ARIMA model is available, the corresponding orders should be set to $0$.

11:   $\mathrm{parx}\left(\mathit{ldparx},\mathbf{nser}\right)$ – double array

ldparx, the first dimension of the array, must satisfy the constraint $\mathit{ldparx}\ge \mathit{nce}$, where $\mathit{nce}$ is the maximum number of parameters in any of the input series ARIMA models. If there are no input series, then $\mathit{ldparx}\ge 1$.

Values of the parameters ($\varphi$, $\theta$, $\Phi$, and $\Theta$) for each of the input series ARIMA models.

Thus column $i$ contains $\mathbf{mrx}\left(1,i\right)$ values of $\varphi$, $\mathbf{mrx}\left(3,i\right)$ values of $\theta$, $\mathbf{mrx}\left(4,i\right)$ values of $\Phi$ and $\mathbf{mrx}\left(6,i\right)$ values of $\Theta$, in that order.

Values in the columns relating to those input series for which no ARIMA model is available are ignored.

12:   $\mathrm{isttf}$ – int64int32nag_int scalar

The dimension of the array sttf.

Constraint: $\mathbf{isttf}\ge \left(P\times s\right)+d+\left(D\times s\right)+q+\max \left(p,Q\times s\right)+\mathit{ncf}$, where
$\mathit{ncf}=\sum \left(b_i+q_i+p_i\right)$ and the summation is over all input series for which $r_i>1$.

Optional Input Parameters

1:     $\mathrm{nser}$ – int64int32nag_int scalar

Default: the dimension of the arrays mt, mrx, rmsxy and the second dimension of the arrays xxy, parx. (An error is raised if these dimensions are not equal.)

The number of input and output series. There may be any number of input series (including none), but only one output series.

2:     $\mathrm{npara}$ – int64int32nag_int scalar

Default: the dimension of the array para.

The exact number of $\varphi$, $\theta$, $\Phi$, $\Theta$, $\omega$, $\delta$, $c$ parameters, so that $\mathbf{npara}=p+q+P+Q+\mathbf{nser}+\sum \left(p+q\right)$, the summation being over all the input series. ($c$ must be included whether its value was previously estimated or was set fixed.)

Output Parameters

1:     $\mathrm{para}\left(\mathbf{npara}\right)$ – double array

The parameter values may be updated using an additional iteration in the estimation process.

2:     $\mathrm{xxy}\left(\mathit{ldxxy},\mathbf{nser}\right)$ – double array

If $\mathbf{kzef}=0$ then xxy is unchanged except that the relevant nfv values in the column relating to the output series (column nser) contain the forecast values (fva), but if $\mathbf{kzef}\ne 0$ then the columns of xxy contain the corresponding values of the input component series $z_t$ and the values of the output noise component $n_t$, in that order.

3:     $\mathrm{rmsxy}\left(\mathbf{nser}\right)$ – double array

$\mathbf{rmsxy}\left(\mathbf{nser}\right)$ contains the estimated residual variance of the output noise ARIMA model which is calculated from the supplied series. Otherwise rmsxy is unchanged.

4:     $\mathrm{mrx}\left(7,\mathbf{nser}\right)$ – int64int32nag_int array

Unchanged, except for column nser which is used as workspace.

5:     $\mathrm{fva}\left(\mathbf{nfv}\right)$ – double array

The required forecast values for the output series. (Note that these are also output in column nser of xxy if $\mathbf{kzef}=0$.)

6:     $\mathrm{fsd}\left(\mathbf{nfv}\right)$ – double array

The standard errors for each of the forecast values.

7:     $\mathrm{sttf}\left(\mathbf{isttf}\right)$ – double array

The nsttf values of the state set based on the first nev sets of (past) values of the input and output series.

8:     $\mathrm{nsttf}$ – int64int32nag_int scalar

The number of values in the state set array sttf.

9:     $\mathrm{ifail}$ – int64int32nag_int scalar

$\mathbf{ifail}=\mathbf{0}$ unless the function detects an error (see Error Indicators and Warnings).

Error Indicators and Warnings

   $\mathbf{ifail}=1$

On entry,	$\mathbf{kfc}<0$,
or	$\mathbf{kfc}>1$,
or	$\mathit{ldxxy}<\left(\mathbf{nev}+\mathbf{nfv}\right)$,
or	$\mathbf{nfv}\le 0$.

   $\mathbf{ifail}=2$

On entry, ldparx is too small or npara is inconsistent with the orders specified in arrays mr and mt; or one of the $r_i$, stored in $\mathbf{mt}\left(4,i\right)$, does not equal $1$, $2$ or $3$.

   $\mathbf{ifail}=3$

On entry or during execution, one or more sets of $\delta$ parameters do not satisfy the stationarity or invertibility test conditions.

   $\mathbf{ifail}=4$

On entry, iwa is too small for the final forecasting calculations. This is a highly unlikely error, and would probably indicate that nfv was abnormally large.

   $\mathbf{ifail}=5$

On entry, iwa is too small by a very considerable margin. No information is supplied about the requisite minimum size.

   $\mathbf{ifail}=6$

On entry,

iwa is too small, but the requisite minimum size is returned in $\mathit{mwa}\left(1\right)$.

   $\mathbf{ifail}=7$

On entry,

imwa is too small, but the requisite minimum size is returned in $\mathit{mwa}\left(1\right)$.

   $\mathbf{ifail}=8$

This indicates a failure in nag_linsys_real_posdef_solve_1rhs (f04as) which is used to solve the equations giving the latest estimates of the parameters.

   $\mathbf{ifail}=9$

This indicates a failure in the inversion of the second derivative matrix associated with parameter estimation.

   $\mathbf{ifail}=10$

On entry or during execution, one or more sets of the ARIMA ($\varphi$, $\theta$, $\Phi$ or $\Theta$) parameters do not satisfy the stationarity or invertibility test conditions.

   $\mathbf{ifail}=11$

On entry,

isttf is too small.

   $\mathbf{ifail}=-99$

An unexpected error has been triggered by this routine. Please contact NAG.

   $\mathbf{ifail}=-399$

Your licence key may have expired or may not have been installed correctly.

   $\mathbf{ifail}=-999$

Dynamic memory allocation failed.

Accuracy

Further Comments

Example

Open in the MATLAB editor: g13bj_example

function g13bj_example


fprintf('g13bj example results\n\n');

% orders and transfer
mr = [int64(1); 0; 0; 0; 0; 1; 4];
mt = [int64(0), ...
         0, 0, 0, 1, 0;
      0, 0, 0, 0, 0, 0;
      0, 0, 0, 0, 1, 0;
      1, 1, 1, 1, 3, 0];
% model parameters
para = [0.495; 0.238; -0.367; -3.876; 4.516; 
        2.474; 8.629; 0.688; -82.858];
% Observed values
xxy = [ 1     1     0     0     8.075 105;
        1     0     1     0     7.819 119;
        1     0     0     1     7.366 119;
        1    -1    -1    -1     8.113 109;
        2     1     0     0     7.380 117;
        2     0     1     0     7.134 135;
        2     0     0     1     7.222 126;
        2    -1    -1    -1     7.768 112;
        3     1     0     0     7.386 116;
        3     0     1     0     6.965 122;
        3     0     0     1     6.478 115;
        3    -1    -1    -1     8.105 115;
        4     1     0     0     8.060 122;
        4     0     1     0     7.684 138;
        4     0     0     1     7.580 135;
        4    -1    -1    -1     7.093 125;
        5     1     0     0     6.129 115;
        5     0     1     0     6.026 108;
        5     0     0     1     6.679 100;
        5    -1    -1    -1     7.414  96;
        6     1     0     0     7.112 107;
        6     0     1     0     7.762 115;
        6     0     0     1     7.645 123;
        6    -1    -1    -1     8.639 122;
        7     1     0     0     7.667 128;
        7     0     1     0     8.080 136;
        7     0     0     1     6.678 140;
        7    -1    -1    -1     6.739 122;
        8     1     0     0     5.569 102;
        8     0     1     0     5.049 103;
        8     0     0     1     5.642  89;
        8    -1    -1    -1     6.808  77;
        9     1     0     0     6.636  89;
        9     0     1     0     8.241  94;
        9     0     0     1     7.968 104;
        9    -1    -1    -1     8.044 108;
       10     1     0     0     7.791 119;
       10     0     1     0     7.024 126;
       10     0     0     1     6.102 119;
       10    -1    -1    -1     6.053 103];
[nev, nis] = size(xxy);
% Add future values
xyf = [11     1     0     0     5.941   0;
       11     0     1     0     5.386   0;
       11     0     0     1     5.811   0;
       11    -1    -1    -1     6.716   0;
       12     1     0     0     6.923   0;
       12     0     1     0     6.939   0;
       12     0     0     1     6.705   0;
       12    -1    -1    -1     6.914   0];
nfv = size(xyf,1);
xxy = [xxy; xyf];

% Residual variance of input series
rmsxy = [0;   0;    0;    0;    0.172;  0];
% orders for ARIMA (only 5th residua variance is non-zero)
mrx = zeros(7, nis, 'int64');
mrx(:,5) = [2;   0;    2;    0;    1;    1;   4];
% Parameters for input series ARIMA
parx = zeros(5,nis);
parx(:,5) = [ 1.6743; -0.9505;  1.4605;  -0.4862;  0.8993];

% Sizes
nev   = int64(40);
nfv   = int64(8);
isttf = int64(20);

% Update forecasts
kfc  = int64(1);
kzef = int64(1);
[para, xxy, rmsxy, mrx, fva, fsd, sttf, nsttf, ifail] = ...
    g13bj( ...
           mr, mt, para, kfc, nev, nfv, xxy, kzef, rmsxy, mrx, parx, isttf);

%   Display results
fprintf('After processing %4d sets of observations\n', nev);
fprintf('%4d values of the state set are derived\n\n', nsttf);
disp(sttf(1:nsttf)');
fprintf('\nThe residual mean square for the output\n');
fprintf('series is also derived and its value is %10.4f\n\n', rmsxy(nis));
fprintf('The forecast values and their standard errors\n\n');
fprintf('   i     fva       fsd\n\n');
fprintf('%4d%10.4f%10.4f\n',[[1:numel(fva)]' fva fsd]');
fprintf('\n');
[ifail] = x04ca( ...
                 'General', ' ', xxy, 'The values of z(t) and n(t)');
fprintf('The first %2d columns hold z(t) and the last column holds n(t)\n', ...
       nis-1);

g13bj example results

After processing   40 sets of observations
   6 values of the state set are derived

    6.0530  193.8741    2.0790   -2.8580   -3.5906   -2.5203


The residual mean square for the output
series is also derived and its value is    20.7599

The forecast values and their standard errors

   i     fva       fsd

   1   93.3977    4.5563
   2   96.9577    6.2172
   3   86.0463    7.0933
   4   77.5887    7.3489
   5   82.1393    7.3941
   6   96.2755    7.5823
   7   98.3451    8.1445
   8   93.5774    8.8536

 The values of z(t) and n(t)
              1          2          3          4          5          6
  1     -0.3391    -3.8886     0.0000     0.0000   188.6028   -79.3751
  2     -0.3391    -0.0000     4.5139     0.0000   199.4379   -84.6127
  3     -0.3391    -0.0000     0.0000     2.4789   204.6834   -87.8232
  4     -0.3391     3.8886    -4.5139    -2.4789   204.3834   -91.9402
  5     -0.6782    -3.8886     0.0000     0.0000   210.6229   -89.0560
  6     -0.6782    -0.0000     4.5139     0.0000   208.5905   -77.4262
  7     -0.6782    -0.0000     0.0000     2.4789   205.0696   -80.8703
  8     -0.6782     3.8886    -4.5139    -2.4789   203.4065   -87.6242
  9     -1.0173    -3.8886     0.0000     0.0000   206.9738   -86.0678
 10     -1.0173    -0.0000     4.5139     0.0000   206.1317   -87.6283
 11     -1.0173    -0.0000     0.0000     2.4789   201.9196   -88.3812
 12     -1.0173     3.8886    -4.5139    -2.4789   194.8194   -75.6979
 13     -1.3564    -3.8886     0.0000     0.0000   203.9738   -76.7287
 14     -1.3564    -0.0000     4.5139     0.0000   209.8837   -75.0412
 15     -1.3564    -0.0000     0.0000     2.4789   210.7052   -76.8277
 16     -1.3564     3.8886    -4.5139    -2.4789   210.3730   -80.9125
 17     -1.6955    -3.8886     0.0000     0.0000   205.9421   -85.3580
 18     -1.6955    -0.0000     4.5139     0.0000   194.5753   -89.3937
 19     -1.6955    -0.0000     0.0000     2.4789   185.8662   -86.6496
 20     -1.6955     3.8886    -4.5139    -2.4789   185.5090   -84.7094
 21     -2.0346    -3.8886     0.0000     0.0000   191.6056   -78.6824
 22     -2.0346    -0.0000     4.5139     0.0000   193.1941   -80.6734
 23     -2.0346    -0.0000     0.0000     2.4789   199.8958   -77.3402
 24     -2.0346     3.8886    -4.5139    -2.4789   203.4970   -76.3583
 25     -2.3737    -3.8886     0.0000     0.0000   214.5519   -80.2896
 26     -2.3737    -0.0000     4.5139     0.0000   213.7702   -79.9104
 27     -2.3737    -0.0000     0.0000     2.4789   216.7963   -76.9015
 28     -2.3737     3.8886    -4.5139    -2.4789   206.7803   -79.3024
 29     -2.7128    -3.8886     0.0000     0.0000   200.4157   -91.8142
 30     -2.7128    -0.0000     4.5139     0.0000   185.9409   -84.7420
 31     -2.7128    -0.0000     0.0000     2.4789   171.4951   -82.2613
 32     -2.7128     3.8886    -4.5139    -2.4789   166.6735   -83.8565
 33     -3.0519    -3.8886     0.0000     0.0000   173.4176   -77.4771
 34     -3.0519    -0.0000     4.5139     0.0000   176.5733   -84.0353
 35     -3.0519    -0.0000     0.0000     2.4789   192.5940   -88.0211
 36     -3.0519     3.8886    -4.5139    -2.4789   201.2606   -87.1045
 37     -3.3910    -3.8886     0.0000     0.0000   207.8790   -81.5993
 38     -3.3910    -0.0000     4.5139     0.0000   210.2493   -85.3721
 39     -3.3910    -0.0000     0.0000     2.4789   205.2616   -85.3495
 40     -3.3910     3.8886    -4.5139    -2.4789   193.8741   -84.3790
 41     -3.7301    -3.8886     0.0000     0.0000   185.6167   -84.6003
 42     -3.7301     0.0000     4.5139     0.0000   178.9692   -82.7953
 43     -3.7301     0.0000     0.0000     2.4789   169.6066   -82.3091
 44     -3.7301     3.8886    -4.5139    -2.4789   166.8325   -82.4095
 45     -4.0692    -3.8886     0.0000     0.0000   172.7331   -82.6360
 46     -4.0692     0.0000     4.5139     0.0000   178.5789   -82.7481
 47     -4.0692     0.0000     0.0000     2.4789   182.7389   -82.8036
 48     -4.0692     3.8886    -4.5139    -2.4789   183.5818   -82.8311
The first  5 columns hold z(t) and the last column holds n(t)