| #------------------------------------------------------------- |
| # |
| # Licensed to the Apache Software Foundation (ASF) under one |
| # or more contributor license agreements. See the NOTICE file |
| # distributed with this work for additional information |
| # regarding copyright ownership. The ASF licenses this file |
| # to you under the Apache License, Version 2.0 (the |
| # "License"); you may not use this file except in compliance |
| # with the License. You may obtain a copy of the License at |
| # |
| # http://www.apache.org/licenses/LICENSE-2.0 |
| # |
| # Unless required by applicable law or agreed to in writing, |
| # software distributed under the License is distributed on an |
| # "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY |
| # KIND, either express or implied. See the License for the |
| # specific language governing permissions and limitations |
| # under the License. |
| # |
| #------------------------------------------------------------- |
| |
| arima_residuals = function(Matrix[Double] weights, Matrix[Double] X, Integer p, Integer P, Integer q, Integer Q, Integer s, String solver) return (Matrix[Double] errs, Matrix[Double] combined_weights){ |
| combined_weights = weights |
| if (p>0 & P>0) |
| combined_weights = rbind(combined_weights, matrix(weights[1:p,] %*% t(weights[p+1:p+P,]), rows=p*P, cols=1)) |
| b = X[,2:ncol(X)]%*%combined_weights |
| errs = X[,1] - b |
| } |
| |
| X = matrix(1, 1000, 1) |
| p = 2 |
| d = 0 |
| q = 0 |
| P = 0 |
| D = 0 |
| Q = 0 |
| s = 0 |
| totparamcols = p+P+Q+q+p*P |
| num_rows = nrow(X) |
| |
| if(num_rows <= d) |
| print("non-seasonal differencing order should be smaller than length of the time-series") |
| if(num_rows <= s*D) |
| print("seasonal differencing order should be smaller than number of observations divided by length of season") |
| |
| Z = cbind (X[1:nrow(X),], matrix(0, nrow(X), totparamcols)) |
| weights = matrix("0.459982 0.673987", 2, 1) |
| |
| f1 = arima_residuals(weights, Z, p, P, q, Q, s, "") |
| f2 = arima_residuals(weights, Z, p, P, q, Q, s, "") |
| print("out: " + sum(f1)) |
