NAG Library Routine Document

Integer, Intent (In)	::	ny, mr(nmr), nmr, npar, iwa, nb
Integer, Intent (Inout)	::	ifail
Real (Kind=nag_wp), Intent (In)	::	y(ny), par(npar), cy
Real (Kind=nag_wp), Intent (Out)	::	wa(iwa), b(nb)

C Header Interface

#include <nagmk26.h>

void	g13bbf_ (const double y[], const Integer ny, const Integer mr[], const Integer nmr, const double par[], const Integer npar, const double cy, double wa[], const Integer iwa, double b[], const Integer nb, Integer *ifail)

3

Description

From a given series

y_{1}, y_{2}, \dots, y_{n}

a new series

b_{1}, b_{2}, \dots, b_{n}

is calculated using a supplied (filtering) transfer function model according to the equation

b_{t} = δ_{1} b_{t - 1} + δ_{2} b_{t - 2} + \dots + δ_{p} b_{t - p} + ω_{0} y_{t - b} - ω_{1} y_{t - b - 1} - \dots - ω_{q} y_{t - b - q} .

(1)

As in the use of g13baf, large transient errors may arise in the early values of

b_{t}

due to ignorance of

y_{t}

for

t < 0

, and two possibilities are allowed.

(i)	The equation (1) is applied from $t = 1 + b + q, \dots, n$ so all terms in $y_{t}$ on the right-hand side of (1) are known, the unknown set of values $b_{t}$ for $t = b + q, \dots, b + q + 1 - p$ being taken as zero.
(ii)	The unknown values of $y_{t}$ for $t \leq 0$ are estimated by backforecasting exactly as for g13baf.

4

References

Box G E P and Jenkins G M (1976) Time Series Analysis: Forecasting and Control (Revised Edition) Holden–Day

5

Arguments

1: $y (ny)$ – Real (Kind=nag_wp) arrayInput

On entry: the

Q_{y}^{'}

backforecasts starting with backforecast at time

1 - Q_{y}^{'}

to backforecast at time

0

followed by the time series starting at time

1

, where

Q_{y}^{'} = mr (6) + mr (9) \times mr (10)

. If there are no backforecasts either because the ARIMA model for the time series is not known or because it is known but has no moving average terms, then the time series starts at the beginning of y.

2: $ny$ – IntegerInput

On entry: the total number of backforecasts and time series data points in array y.

Constraint:

ny \geq \max (1 + Q_{y}^{'}, npar)

3: $mr (nmr)$ – Integer arrayInput

On entry: the orders vector for the filtering transfer function model followed by the orders vector for the ARIMA model for the time series if the latter is known. The transfer function model orders appear in the standard form

(b, q, p)

as given in the G13 Chapter Introduction. Note that if the ARIMA model for the time series is supplied then the routine will assume that the first

Q_{y}^{'}

values of the array y are backforecasts.

Constraints:

the filtering model is restricted in the following way:

$mr (1), mr (2), mr (3) \geq 0$ .

the ARIMA model for the time series is restricted in the following ways:

$mr (k) \geq 0$ , for $k = 4, 5, \dots, 10$ ;
if $mr (10) = 0$ , $mr (7) + mr (8) + mr (9) = 0$ ;
if $mr (10) \neq 0$ , $mr (7) + mr (8) + mr (9) \neq 0$ ;
$mr (10) \neq 1$ .

4: $nmr$ – IntegerInput

On entry: the number of values supplied in the array mr. It takes the value

3

if no ARIMA model for the time series is supplied but otherwise it takes the value

10

. Thus nmr acts as an indicator as to whether backforecasting can be carried out.

Constraint:

nmr = 3

10

5: $par (npar)$ – Real (Kind=nag_wp) arrayInput

On entry: the parameters of the filtering transfer function model followed by the parameters of the ARIMA model for the time series. In the transfer function model the parameters are in the standard order of MA-like followed by AR-like operator parameters. In the ARIMA model the parameters are in the standard order of non-seasonal AR and MA followed by seasonal AR and MA.

6: $npar$ – IntegerInput

On entry: the total number of parameters held in array par.

Constraints:

if $nmr = 3$ , $npar = mr (2) + mr (3) + 1$ ;
if $nmr = 10$ , $npar = mr (2) + mr (3) + 1 + mr (4) + mr (6) + mr (7) + mr (9)$ .

7: $cy$ – Real (Kind=nag_wp)Input

On entry: if the ARIMA model is known (i.e.,

nmr = 10

), cy must specify the constant term of the ARIMA model for the time series. If this model is not known (i.e.,

nmr = 3

) then cy is not used.

8: $wa (iwa)$ – Real (Kind=nag_wp) arrayOutput

9: $iwa$ – IntegerInput

These arguments are no longer accessed by g13bbf. Workspace is provided internally by dynamic allocation instead.

10: $b (nb)$ – Real (Kind=nag_wp) arrayOutput

On exit: the filtered output series. If the ARIMA model for the time series was known, and hence

Q_{y}^{'}

backforecasts were supplied in y, then b contains

Q_{y}^{'}

‘filtered’ backforecasts followed by the filtered series. Otherwise, the filtered series begins at the start of b just as the original series began at the start of y. In either case, if the value of the series at time

t

is held in

y (t)

, then the filtered value at time

t

is held in

b (t)

11: $nb$ – IntegerInput

On entry: the dimension of the array b as declared in the (sub)program from which g13bbf is called.

In addition to holding the returned filtered series, b is also used as an intermediate work array if the ARIMA model for the time series is known.

Constraints:

if $nmr = 3$ , $nb \geq ny$ ;
if $nmr = 10$ , $nb \geq ny + \max (mr (1) + mr (2), mr (3))$ .

12: $ifail$ – IntegerInput/Output

On entry: ifail must be set to

0

- 1 or 1

. If you are unfamiliar with this argument you should refer to Section 3.4 in How to Use the NAG Library and its Documentation for details.

For environments where it might be inappropriate to halt program execution when an error is detected, the value

- 1 or 1

is recommended. If the output of error messages is undesirable, then the value

1

is recommended. Otherwise, if you are not familiar with this argument, the recommended value is

0

. When the value $- 1 or 1$ is used it is essential to test the value of ifail on exit.

On exit:

ifail = 0

unless the routine detects an error or a warning has been flagged (see Section 6).

6

Error Indicators and Warnings

If on entry

ifail = 0

- 1

, explanatory error messages are output on the current error message unit (as defined by x04aaf).

Errors or warnings detected by the routine:

$ifail = 1$: On entry, $i = 〈value〉$ , $mr (i) = 〈value〉$ .
Constraint: $mr (i) \geq 0$ .

On entry, $mr (10) = 1$ .
Constraint: $mr (10) \neq 1$ .

On entry, $mr (7) = 〈value〉$ , $mr (8) = 〈value〉$ and $mr (9) = 〈value〉$ .
Constraint: $mr (7) + mr (8) + mr (9) = 0$ .

On entry, $mr (7) = 〈value〉$ , $mr (8) = 〈value〉$ and $mr (9) = 〈value〉$ .
Constraint: $mr (7) + mr (8) + mr (9) \neq 0$ .

On entry, $nb = 〈value〉$ and the minimum size $required = 〈value〉$ .
Constraint: if $nmr = 10$ then $nb \geq \max (b, p, q)$ , otherwise $nb \geq ny$ .

On entry, $nmr = 〈value〉$ .
Constraint: $nmr = 3$ or $10$ .

On entry, $npar = 〈value〉$ .
Constraint: npar must be inconsistent with mr.

$ifail = 2$: A supplied model has invalid parameters.

$ifail = 3$: The supplied time series is too short.

$ifail = 4$: The matrix used to solve for starting values for MA is singular.

$ifail = - 99$: An unexpected error has been triggered by this routine. Please contact NAG.
See Section 3.9 in How to Use the NAG Library and its Documentation for further information.

$ifail = - 399$: Your licence key may have expired or may not have been installed correctly.
See Section 3.8 in How to Use the NAG Library and its Documentation for further information.

$ifail = - 999$: Dynamic memory allocation failed.
See Section 3.7 in How to Use the NAG Library and its Documentation for further information.

7

Accuracy

Accuracy and stability are high except when the AR-like parameters are close to the invertibility boundary. All calculations are performed in basic precision except for one inner product type calculation which on machines of low precision is performed in additional precision.

8

Parallelism and Performance

g13bbf is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.

g13bbf makes calls to BLAS and/or LAPACK routines, which may be threaded within the vendor library used by this implementation. Consult the documentation for the vendor library for further information.

Please consult the X06 Chapter Introduction for information on how to control and interrogate the OpenMP environment used within this routine. Please also consult the Users' Note for your implementation for any additional implementation-specific information.

9

Further Comments

If an ARIMA model is supplied, a local workspace array of fixed length is allocated internally by g13bbf. The total size of this array amounts to

K

integer elements, where

K

is the expression defined in the description of the argument wa.

The time taken by g13bbf is roughly proportional to the product of the length of the series and number of parameters in the filtering model with appreciable increase if an ARIMA model is supplied for the time series.

10

Example

This example reads a time series of length

296

. It reads one univariate ARIMA

(1, 1, 0, 0, 1, 1, 12)

model for the series and the

(0, 13, 12)

filtering transfer function model.

12

initial backforecasts are required and these are calculated by a call to g13ajf . The backforecasts are inserted at the start of the series and g13bbf is called to perform the filtering.

NAG Library Routine Document

g13bbf (multi_filter_transf)

▸▿ Contents

1 Purpose

2 Specification

3 Description

4 References

5 Arguments

6 Error Indicators and Warnings

7 Accuracy

8 Parallelism and Performance

9 Further Comments

10 Example

10.1 Program Text

10.2 Program Data

10.3 Program Results

1

Purpose

2

Specification

3

Description

4

References

5

Arguments

6

Error Indicators and Warnings

7

Accuracy

8

Parallelism and Performance

9

Further Comments

10

Example

10.1

Program Text

10.2

Program Data

10.3

Program Results