[−][src]Function arima::estimate::residuals

pub fn residuals<T: Float + From<u32> + From<f64> + Copy + Add + AddAssign + Div + Debug>(
    x: &[T], 
    intercept: T, 
    phi: Option<&[T]>, 
    theta: Option<&[T]>
) -> Result<Vec<T>, ArimaError>

Calculate residuals given a time series, an intercept, and ARMA parameters phi and theta. Any differencing and centering should be done before. Squaring and summing the residuals yields the conditional sum of squares (CSS), which can be used as an objective function to estimate the AR and MA parameters. The variance can be then estimated via CSS/(x.len()-phi.len()).

Arguments

  • &x - Vector of the timeseries.
  • intercept - Intercept parameter.
  • &phi - AR parameter vector.
  • &theta - MA parameter vector.

Returns

  • Vector of residuals. The first phi.len() items are zeros.

Example

use arima::estimate;
let x = [1.0, 1.2, 1.4, 1.6];
let res = estimate::residuals(&x, 0.0, Some(&[0.6, 0.4]), Some(&[0.3])).unwrap();
assert!((res[0] - 0.00).abs() < 1.0e-7);
assert!((res[1] - 0.00).abs() < 1.0e-7);
assert!((res[2] - 0.27999999).abs() < 1.0e-7);
assert!((res[3] - 0.196).abs() < 1.0e-7);