Function arima::estimate::fit

pub fn fit<T: Float + From<u32> + From<f64> + Into<f64> + Copy + Add + AddAssign + Div + Debug>(
    x: &[T], 
    ar: usize, 
    d: usize, 
    ma: usize
) -> Result<Vec<f64>, ArimaError>

Fit an ARIMA model. Returns the fitted coefficients. This method uses the L-BFGS algorithm and the conditional sum of squares (CSS) as the objective function.

Arguments

• &x - Vector of the timeseries.
• ar - Order of the AR coefficients.
• d - Order of differencing.
• ma - Order of the MA coefficients.

Returns

• ARIMA coefficients minimizing the conditional sum of squares (CSS).

Example

use arima::estimate;
let x = [1.0, 1.2, 1.4, 1.6, 1.4, 1.2, 1.0];
let coef = estimate::fit(&x, 0, 0, 1).unwrap();
assert!((coef[0] - 1.2051).abs() < 1.0e-3); // intercept
assert!((coef[1] - 0.5637).abs() < 1.0e-3); // phi_1