Inheritance diagram for CronoSeries.TimeSeries.Models.Model:

Public Types
enum	ParameterState { Free, Locked, Consequential }

Public Member Functions
abstract int	NumInputs ()

abstract int	NumOutputs ()

abstract string	GetInputName (int socket)

abstract string	GetOutputName (int socket)

virtual List< Type >	GetAllowedInputTypesFor (int socket)

virtual List< Type >	GetOutputTypesFor (int socket)

abstract bool	InputIsFree (int socket)

abstract bool	SetInput (int socket, object item, StringBuilder failMsg)

abstract object	GetOutput (int socket)

string	GetDescription ()

virtual string	GetShortDescription ()

bool	CanUseMLE ()

bool	CanUseMoM ()

bool	CanHandleNaNs ()

abstract double	LogLikelihood (Vector< double > parameter, double penaltyFactor, bool fillOutputs)
	Returns the (possibly penalized) log-likelihood of the model with specified parameters and the current object theData. If parameter==null, it will use CURRENT parameters. If fillOutputs is true, then the residuals and any other outputs will be filled in. More...

abstract Data.TimeSeries	SimulateData (List< DateTime > dateTimes, int randomSeed)
	This function must simulate from the current model. More...

abstract object	BuildForecasts (object otherData, object inputs)
	This function generates forecasts (or fitted values) for the specified inputs, based on the existing data object and current model parameters. Results are returned in a form that depends on the model, for example, as a TimeSeries of DistributionSummary objects More...

virtual void	FitByMLE (int numIterationsLDS, int numIterationsOpt, double consistencyPenalty, Optimizer.OptimizationCallback optCallback)

virtual void	FitByMoM ()
	Fits model by method of moments. This is the default method used of CanUseMLE is false. More...

bool	InputToOutputIsValid ()

abstract string	GetParameterName (int index)

abstract string	GetParameterDescription (int index)

bool	SetParameters (Vector< double > v)

Public Attributes
object	theData

Protected Member Functions
abstract Vector< double >	ComputeConsequentialParameters (Vector< double > parameter)
	This function must fill in values of consequential parameters. These parameters are determined by the current ParameterState[] settings in ParameterStates. These can depend on the non-consequential parameters and the data set. The function should throw an exception if it is not possible. The parameter vector with parameters filled in should be returned. More...

abstract bool	CheckDataValidity (object data, StringBuilder failMessage)
	This function checks to see if the object can be cast into the appropriate form for the model. More...

abstract void	OnDataConnection ()
	This function is called immediately after a data object is connected to the model. Any initial processing (e.g. determining dimension of parameter vector, etc.) should be done here. More...

abstract void	InitializeParameters ()
	This function is called after OnDataConnection. It can assume valid data is available, and it must fill in valid default parameter values. It typically also sets default parameter states, for purposes of estimation. More...

double	NegativeLogLikelihood (Vector< double > partialCube)
	This function is a wrapper for another function, to be passed to a minimizer. More...

abstract bool	CheckParameterValidity (Vector< double > param)
	Checks for validity of parameters. More...

Static Protected Member Functions
static Vector< double >	CubeFix (Vector< double > cube)
	This function makes sure that its vector argument really does contain an element of the unit hypercube. If not, it is mapped back to an element on the hypercube (the mapping is continuous). More...

Properties
abstract string	Description `[get]`
	Should return a description of the model, including current parameter values if desired. More...

object	Residuals `[get, protected set]`

object	TheData `[get, set]`

double	GoodnessOfFit `[get, protected set]`

abstract Vector< double >	Parameters `[get, set]`

ParameterState[]	ParameterStates `[get, set]`

string	ToolTipText `[get, set]`

Properties inherited from CronoSeries.TimeSeries.Data.IConnectable
string	ToolTipText `[get, set]`

Member Function Documentation

◆ BuildForecasts()

abstract object CronoSeries.TimeSeries.Models.Model.BuildForecasts	(	object	otherData,
		object	inputs
	)

pure virtual

This function generates forecasts (or fitted values) for the specified inputs, based on the existing data object and current model parameters. Results are returned in a form that depends on the model, for example, as a TimeSeries of DistributionSummary objects

Parameters

otherData
inputs	may have different interpretations, for time series, it is typically an IList of DateTime objects

Returns: a model-dependent object: for example, a time series of distribution summaries

Implemented in CronoSeries.TimeSeries.Models.VARModel, CronoSeries.TimeSeries.Models.GARCHModel, CronoSeries.TimeSeries.Models.ARMAModel, and CronoSeries.TimeSeries.Models.ACFModel.

◆ CheckDataValidity()

abstract bool CronoSeries.TimeSeries.Models.Model.CheckDataValidity	(	object	data,
		StringBuilder	failMessage
	)

protectedpure virtual

This function checks to see if the object can be cast into the appropriate form for the model.

Parameters

data	data to be attached to the model
failMessage	if non-null, will be filled with descriptive error messages (if any)

Returns

Implemented in CronoSeries.TimeSeries.Models.UnivariateTimeSeriesModel, and CronoSeries.TimeSeries.Models.MVTimeSeriesModel.

◆ CheckParameterValidity()

abstract bool CronoSeries.TimeSeries.Models.Model.CheckParameterValidity ( Vector< double > param )

protectedpure virtual

Checks for validity of parameters.

Parameters

param

Returns

Implemented in CronoSeries.TimeSeries.Models.VARModel, and CronoSeries.TimeSeries.Models.GARCHModel.

◆ ComputeConsequentialParameters()

abstract Vector<double> CronoSeries.TimeSeries.Models.Model.ComputeConsequentialParameters ( Vector< double > parameter )

protectedpure virtual

This function must fill in values of consequential parameters. These parameters are determined by the current ParameterState[] settings in ParameterStates. These can depend on the non-consequential parameters and the data set. The function should throw an exception if it is not possible. The parameter vector with parameters filled in should be returned.

Implemented in CronoSeries.TimeSeries.Models.VARModel, CronoSeries.TimeSeries.Models.GARCHModel, and CronoSeries.TimeSeries.Models.ARMAXModel.

◆ CubeFix()

static Vector<double> CronoSeries.TimeSeries.Models.Model.CubeFix ( Vector< double > cube )

inlinestaticprotected

This function makes sure that its vector argument really does contain an element of the unit hypercube. If not, it is mapped back to an element on the hypercube (the mapping is continuous).

Parameters

cube

Returns

◆ FitByMLE()

virtual void CronoSeries.TimeSeries.Models.Model.FitByMLE	(	int	numIterationsLDS,
		int	numIterationsOpt,
		double	consistencyPenalty,
		Optimizer.OptimizationCallback	optCallback
	)

inlinevirtual

This function samples from parameter space using a Halton sequence and picks the model with best log-likelihood. Individual parameters are tagged as ParameterState.Locked, ParameterState.Free, or ParameterState.Consequential. Locked parameters are held at current values in optimization. Free parameters are optimized. Consequential parameters are computed as a function of other parameters and the data.

Parameters

numIterationsLDS	Number of parameters to consider per iteration
numIterationsOpt	Number of iterations corresponding to free parameters
consistencyPenalty	Penalty applied in LogLikelihood calculation

◆ FitByMoM()

virtual void CronoSeries.TimeSeries.Models.Model.FitByMoM ( )

inlinevirtual

Fits model by method of moments. This is the default method used of CanUseMLE is false.

◆ InitializeParameters()

abstract void CronoSeries.TimeSeries.Models.Model.InitializeParameters ( )

protectedpure virtual

This function is called after OnDataConnection. It can assume valid data is available, and it must fill in valid default parameter values. It typically also sets default parameter states, for purposes of estimation.

Implemented in CronoSeries.TimeSeries.Models.VARModel, CronoSeries.TimeSeries.Models.GARCHModel, CronoSeries.TimeSeries.Models.ARMAXModel, CronoSeries.TimeSeries.Models.ARMAModel, and CronoSeries.TimeSeries.Models.ACFModel.

◆ LogLikelihood()

abstract double CronoSeries.TimeSeries.Models.Model.LogLikelihood	(	Vector< double >	parameter,
		double	penaltyFactor,
		bool	fillOutputs
	)

pure virtual

Returns the (possibly penalized) log-likelihood of the model with specified parameters and the current object theData. If parameter==null, it will use CURRENT parameters. If fillOutputs is true, then the residuals and any other outputs will be filled in.

Returns

Implemented in CronoSeries.TimeSeries.Models.VARModel, CronoSeries.TimeSeries.Models.GARCHModel, and CronoSeries.TimeSeries.Models.ARMAXModel.

◆ NegativeLogLikelihood()

double CronoSeries.TimeSeries.Models.Model.NegativeLogLikelihood ( Vector< double > partialCube )

inlineprotected

This function is a wrapper for another function, to be passed to a minimizer.

Returns

◆ OnDataConnection()

abstract void CronoSeries.TimeSeries.Models.Model.OnDataConnection ( )

protectedpure virtual

This function is called immediately after a data object is connected to the model. Any initial processing (e.g. determining dimension of parameter vector, etc.) should be done here.

Implemented in CronoSeries.TimeSeries.Models.VARModel, and CronoSeries.TimeSeries.Models.UnivariateTimeSeriesModel.

◆ SimulateData()

abstract Data.TimeSeries CronoSeries.TimeSeries.Models.Model.SimulateData	(	List< DateTime >	dateTimes,
		int	randomSeed
	)

pure virtual

This function must simulate from the current model.

Parameters

dateTimes	these may have different interpretations, but for time series, is typically an IList of DateTime objects
randomSeed	random number seed

Returns

Implemented in CronoSeries.TimeSeries.Models.GARCHModel, CronoSeries.TimeSeries.Models.VARModel, CronoSeries.TimeSeries.Models.ARMAXModel, CronoSeries.TimeSeries.Models.ARMAModel, and CronoSeries.TimeSeries.Models.ACFModel.

Property Documentation

◆ Description

abstract string CronoSeries.TimeSeries.Models.Model.Description

get

Should return a description of the model, including current parameter values if desired.

The documentation for this class was generated from the following file:

TimeSeries/Models/Model.cs

Public Types

Public Member Functions

Public Attributes

Protected Member Functions

Static Protected Member Functions

Properties

Member Function Documentation

◆ BuildForecasts()

◆ CheckDataValidity()

◆ CheckParameterValidity()

◆ ComputeConsequentialParameters()

◆ CubeFix()

◆ FitByMLE()

◆ FitByMoM()

◆ InitializeParameters()

◆ LogLikelihood()

◆ NegativeLogLikelihood()

◆ OnDataConnection()

◆ SimulateData()

Property Documentation

◆ Description