Ticket #1136 (assigned task)

Opened 3 years ago

Last modified 17 months ago

ARMA TolPackage

Reported by: josp Owned by: fneto@…
Priority: normal Milestone: TOL Packages
Component: Various Version: 2.0.1
Severity: normal Keywords:
Cc:

Description

It is requested the implementation of a TolPackage in order to encapsulate the functionalities related to ARMA models. Now there are a lot of related funcionalities dispersed between stdlib and TOL's core.

Change History

Changed 3 years ago by vdebuen

(In [3350]) Refs #1136

Changed 3 years ago by vdebuen

(In [3384]) Refs #1136
Fixed wrong name of PACF method

Changed 3 years ago by vdebuen

(In [3711]) Refs #1136

Changed 3 years ago by vdebuen

(In [3712]) Refs #1136

Changed 3 years ago by vdebuen

(In [3713]) Refs #1136

Changed 3 years ago by vdebuen

(In [3714]) Refs #1136

Changed 3 years ago by vdebuen

(In [3715]) Refs #1136

Changed 3 years ago by vdebuen

(In [3716]) Refs #1136

Changed 3 years ago by fneto

(In [3728]) Refs #1136
Generic ARIMA tools

Changed 3 years ago by fneto

(In [3729]) Refs #1136
Checking ArimaTools::Identify

Changed 3 years ago by fneto

(In [3730]) Refs #1136
Generalization of the methods API
Checking ArimaTools::Identify

Changed 3 years ago by fneto

(In [3731]) Refs #1136
Version Update

Changed 3 years ago by vdebuen

  • owner changed from vdebuen to fneto
  • status changed from new to assigned

Las descripciones deberían estar en inglés.

En la descripción del método Identify debería referirse a la posibilidad de cambiar las opciones evaluadas modificando el miembro Identify.Options.

También habría que generalizar la parte estacional que ahora mismo sólo puede ser un IMA o nada. Debería ampliarse a cualquier orden de estacionalidades haciendo un ciclo sobre Arima_From_Label que fuera capaz de explorar modelos como éste.

#Require ArimaTools:

Set Append(ArimaTools, [[GetLabelFromArima([[
  ARIMAStruct( 1, 1-0.1*B    +0.1*B^2,  1-0.1*B,    1-B),
  ARIMAStruct( 24,1-0.1*B^24 +0.1*B^48, 1-0.1*B^24, 1-B^24),
  ARIMAStruct(168,1-0.1*B^168+0.1*B^372,1-0.1*B^168,1-B^168)
]]) ]]);

}}}

El método Ortogonalization es demasiado ambiguo, quizás podria llamarse Ortogonalization.InputOutput

Changed 3 years ago by vdebuen

  • owner changed from fneto to fneto@…

Changed 3 years ago by vdebuen

  • owner changed from fneto@… to vdebuen

Changed 3 years ago by vdebuen

  • owner changed from vdebuen to fneto@…

Changed 3 years ago by fneto

  • owner changed from fneto@… to fneto

Changed 3 years ago by fneto

Un test para los reports a fneto

Changed 3 years ago by vdebuen

  • owner changed from fneto to vdebuen

Changed 3 years ago by vdebuen

  • owner changed from vdebuen to fneto@…

Changed 3 years ago by fneto

Testando el correo de confirmación

Changed 2 years ago by vdebuen

(In [4219]) Refs #1136

Changed 2 years ago by vdebuen

(In [4220]) Refs #1136

Changed 2 years ago by vdebuen

(In [4224]) Refs #1136
Adding transition matrix

Changed 2 years ago by vdebuen

(In [4269]) Refs #1136

Changed 2 years ago by vdebuen

(In [4277]) Refs #1136

Changed 2 years ago by vdebuen

(In [4293]) Refs #1136

Changed 2 years ago by vdebuen

(In [4304]) Refs #1136

Changed 2 years ago by vdebuen

(In [4329]) Refs #1136

Changed 2 years ago by vdebuen

(In [4397]) Refs #1136

Changed 2 years ago by vdebuen

(In [4398]) Refs #1136

Changed 2 years ago by vdebuen

(In [4399]) Refs #1136

Changed 2 years ago by vdebuen

(In [4403]) Refs #1136

Changed 2 years ago by vdebuen

(In [4411]) Refs #1136

Changed 2 years ago by vdebuen

(In [4427]) Refs #1136

Changed 2 years ago by vdebuen

(In [4428]) Refs #1136

Changed 2 years ago by vdebuen

(In [4445]) Refs #1136

Changed 2 years ago by vdebuen

(In [4482]) Refs #1136

Changed 2 years ago by vdebuen

(In [4499]) Refs #1136

Changed 2 years ago by vdebuen

(In [4503]) Refs #1136

Changed 2 years ago by vdebuen

(In [4509]) Refs #1136

Changed 2 years ago by vdebuen

(In [4532]) Refs #1136

Changed 2 years ago by vdebuen

(In [4550]) Refs #1136
Refs #1508
El prior por defecto es el no informativo

Changed 2 years ago by vdebuen

(In [4551]) Refs #1136
Refs #1508
Hay que eliminar todas las referencias antes de destruir el objeto

Changed 2 years ago by vdebuen

(In [4552]) Refs #1136
Refs #1508
Se unifica el comportamiento del producto cartesiano pra modelos estrictamente regulares

Changed 2 years ago by vdebuen

(In [4553]) Refs #1136
Refs #1508
Adecuación de tests

Changed 2 years ago by vdebuen

(In [4554]) Refs #1136
Refs #1508
Bibliografía y notas

Changed 2 years ago by vdebuen

(In [4555]) Refs #1136
Refs #1508
Adecuación de tests

Changed 2 years ago by vdebuen

(In [4556]) Refs #1136
Refs #1508
Adecuación de tests

Changed 2 years ago by vdebuen

(In [4557]) Refs #1136
Refs #1508
Adecuación de tests

Changed 2 years ago by vdebuen

(In [4558]) Refs #1136
Refs #1508
Visualización de mensajes
Adecuación de tests

Changed 2 years ago by vdebuen

(In [4648]) Refs #1136

Changed 2 years ago by vdebuen

(In [4649]) New built-in function gsl_poly_complex_solve: Returns complex roots of given polynomial in a real matrix with two columns

Refs #1136

Changed 2 years ago by vdebuen

(In [4650]) Refs #1136
Solves some numerical problems in RandStationary and allows a new optional argument to specify maximum absolute value of inverse of roots

Changed 2 years ago by vdebuen

(In [4651]) Using new RandStationary
Refs #1136

Changed 2 years ago by vdebuen

(In [4655]) New functions AutoregMaxBicDegree and AutoregMaxBicDegreeS
Refs #1136

Changed 2 years ago by vdebuen

(In [4656]) massive tests
Refs #1136

Changed 2 years ago by vdebuen

(In [4657]) massive tests
Refs #1136

Changed 2 years ago by vdebuen

(In [4658]) massive tests
Refs #1136

Changed 2 years ago by vdebuen

(In [4686]) Refs #1136

Changed 23 months ago by vdebuen

(In [4763]) massive tests
Refs #1136

Changed 23 months ago by vdebuen

(In [4764]) massive tests
Refs #1136

Changed 21 months ago by vdebuen

(In [4999]) Refs #1136

Changed 21 months ago by vdebuen

(In [5000]) Refs #1136

Changed 21 months ago by vdebuen

(In [5001]) Refs #1136

Changed 21 months ago by vdebuen

(In [5006]) Refs #1136
Box-Pierce-Ljung statistic

Changed 21 months ago by vdebuen

(In [5009]) Refs #1136
Box-Pierce-Ljung statistic

Changed 21 months ago by vdebuen

(In [5011]) Refs #1136
Box-Pierce-Ljung statistic

Changed 21 months ago by vdebuen

(In [5012]) Refs #1136
Box-Pierce-Ljung statistic

Changed 20 months ago by vdebuen

(In [5049]) Refs #1136
Modified Box Pierce statistic

Changed 20 months ago by vdebuen

(In [5052]) Refs #1136
Replacing Box-Pierce-Ljung by modified Box Pierce statistic to ARIMA diagnostics.
Ensuring conditions for some diagnostics calculations

Changed 20 months ago by vdebuen

(In [5053]) Refs #1136
Modified Box Pierce statistic

Changed 20 months ago by vdebuen

(In [5056]) Refs #1136
version 6.1: identification is running reasonably

Changed 20 months ago by vdebuen

(In [5057]) Refs #1136
version 6.1: identification is running reasonably

Changed 20 months ago by vdebuen

(In [5058]) Refs #1136
Homogeneous config handlers
Code reorganization

Changed 20 months ago by vdebuen

(In [5059]) Refs #1136
Code reorganization

Changed 20 months ago by vdebuen

(In [5060]) Refs #1136
Code reorganization

Changed 20 months ago by vdebuen

(In [5062]) Refs #1136
version 6.1: identification is running reasonably

Changed 19 months ago by vdebuen

(In [5082]) Refs #1136
Now, RandStationary can draw inverse of roots in an specified interval inside (0,1)

Changed 19 months ago by vdebuen

(In [5145]) Refs #1136
New methods to handle with conditioned least squares estimation and stationarity probability calculation

Changed 19 months ago by vdebuen

(In [5146]) Refs #1136
New methods to handle with conditioned least squares estimation and stationarity probability calculation

Changed 19 months ago by vdebuen

(In [5147]) Refs #1136
some log-likelihood corrections

Changed 19 months ago by vdebuen

(In [5148]) Refs #1136
BriefDiagnostic shoulkd return the given value if it is not a known title

Changed 19 months ago by vdebuen

(In [5149]) Refs #1136
setting optional random seed

Changed 19 months ago by vdebuen

(In [5150]) Refs #1136
some log-likelihood corrections

Changed 19 months ago by vdebuen

(In [5151]) Refs #1136
using diagnostic test name as identifier instead of title

Changed 19 months ago by vdebuen

(In [5153]) Refs #1136
Fixed bug in CalcResidualsJacobian

Changed 19 months ago by vdebuen

(In [5154]) Refs #1136
Avoiding copy of config

Changed 19 months ago by vdebuen

(In [5155]) Refs #1136
Some corrections

Changed 19 months ago by vdebuen

(In [5158]) Refs #1136
Some corrections

Changed 19 months ago by vdebuen

(In [5172]) Refs #1136
Merging diagnosys p-values in just one prior log-density

Changed 19 months ago by vdebuen

(In [5173]) Refs #1136
Skipping seasonal lags in regular ACF distribution

Changed 19 months ago by vdebuen

(In [5176]) Refs #1136
Merging diagnosys p-values in just one prior log-density

Changed 19 months ago by vdebuen

(In [5177]) Refs #1136
Merging diagnosys p-values in just one prior log-density

Changed 19 months ago by vdebuen

(In [5181]) Refs #1136
Adding function SvdMinimumResidualsSolve

Changed 19 months ago by vdebuen

(In [5182]) Refs #1136
Adding built-in function ARMAPreliminaryEstimation

Changed 19 months ago by vdebuen

(In [5186]) Refs #1136
fixing bugs in ARMAPreliminaryEstimation

Changed 19 months ago by vdebuen

(In [5187]) Refs #1136
fixing bugs in ARMAPreliminaryEstimation

Changed 19 months ago by vdebuen

(In [5206]) Refs #1136
fixing bugs in ARMAPreliminaryEstimation

Changed 19 months ago by vdebuen

(In [5207]) Refs #1136
New internal function tol_gsl_poly_complex_solve to handle with gsl_poly_complex_solve

Changed 19 months ago by vdebuen

(In [5208]) Refs #1136
New implementation of built-in funciton InverseNonStationaryRoots by means of tol_gsl_poly_complex_solve

Changed 19 months ago by vdebuen

(In [5218]) Refs #1136

Changed 19 months ago by vdebuen

(In [5219]) Refs #1136

Changed 19 months ago by vdebuen

(In [5225]) Refs #1136

Changed 19 months ago by vdebuen

(In [5226]) Refs #1136

Changed 19 months ago by vdebuen

(In [5227]) Refs #1136
Massive sampler

Changed 19 months ago by vdebuen

(In [5228]) Refs #1136
Massive sampler

Changed 19 months ago by vdebuen

(In [5229]) Refs #1136
Massive sampler

Changed 18 months ago by vdebuen

(In [5236]) Refs #1136
Massive sampler in sqlite database

Changed 18 months ago by vdebuen

(In [5237]) Refs #1136
Massive sampler in sqlite database

Changed 18 months ago by vdebuen

(In [5242]) Refs #1136
Massive sampler with monotable design is very faster in queries

Changed 18 months ago by vdebuen

(In [5245]) Refs #1136
More flexible parametrization of massive sampler

Changed 18 months ago by vdebuen

(In [5246]) Refs #1136
Avoiding excess of close to 0 ARMA coefficients
Adding ACF and PACF indexes

Changed 18 months ago by vdebuen

(In [5247]) Refs #1136
Avoiding excess of close to 0 ARMA coefficients

Changed 18 months ago by vdebuen

(In [5248]) Refs #1136
Creating statistics table

Changed 18 months ago by vdebuen

(In [5257]) Refs #1136
Using ARIMA structures and inputs in order to estimate

Changed 18 months ago by vdebuen

(In [5258]) Refs #1136
Fixed bug in SafeCholesky

Changed 18 months ago by vdebuen

(In [5259]) Refs #1136
Adding PACF information

Changed 18 months ago by vdebuen

(In [5260]) Refs #1136
Extending @IdArmaDB API to postgresql database engines

Changed 18 months ago by vdebuen

(In [5264]) Refs #1136
fixed bug in returning objects

Changed 18 months ago by vdebuen

(In [5265]) Refs #1136
If linux and sglite then load_extension
using just lower case in statistics table fields

Changed 18 months ago by vdebuen

(In [5268]) Refs #1136
Allowing postgresql schemas
Adding index

Changed 18 months ago by vdebuen

(In [5269]) Refs #1136
Allowing postgresql schemas

Changed 18 months ago by vdebuen

(In [5270]) Refs #1136
Replacing postgresql schemas by table sufix

Changed 18 months ago by vdebuen

(In [5274]) Refs #1136
cleaning unused info

Changed 18 months ago by vdebuen

(In [5275]) Refs #1136
New method MergeTables

Changed 18 months ago by vdebuen

(In [5276]) Refs #1136
Fixed bug in RandStationary

Changed 18 months ago by vdebuen

(In [5277]) Refs #1136
Using RandStationary withn inverse root modules between 0.01 and 0.99 in @RandArimaSeries Create.ARMARegular
The frequence of data length is changed from uniform to proportional to inverse of square root

Changed 18 months ago by vdebuen

(In [5279]) Refs #1136
Code reorganization

Changed 18 months ago by vdebuen

(In [5292]) Refs #1136
Using @IdArmaSearch as ARMA regular identifier

Changed 18 months ago by vdebuen

(In [5293]) Refs #1136
Using @IdArmaSearch as ARMA regular identifier when there is a @IdArmaDB connection

Changed 18 months ago by vdebuen

(In [5308]) Refs #1136
Some bugs solved and enhancements

Changed 18 months ago by vdebuen

(In [5318]) Refs #1136
timing traces and faster DB-ARMA identification

Changed 18 months ago by vdebuen

(In [5319]) Refs #1136
Reorganicing code and data for loading NameBlock SearchAcf

Changed 18 months ago by vdebuen

(In [5320]) Refs #1136
Reorganicing code and data for loading NameBlock SearchAcf

Changed 18 months ago by vdebuen

(In [5327]) Refs #1136
Weighting ACF and PACF in descending order

Changed 18 months ago by vdebuen

(In [5328]) Refs #1136
Reorganizing API

Changed 18 months ago by vdebuen

(In [5329]) Refs #1136
Reorganizing API

Changed 17 months ago by vdebuen

(In [5378]) Refs #1136
Adding exponential smoothing methods

Changed 17 months ago by vdebuen

(In [5379]) Refs #1136
Renaming members

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