timeseries.models.arima.StateSpaceARMA Maven / Gradle / Ivy

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package timeseries.models.arima;

final class StateSpaceARMA {
  
  private final double[] differencedSeries;
  private final double[] arParams;
  private final double[] maParams;
  private final double[][] transitionMatrix;
  private final double[] disturbanceVector;
  private final double[] observationVector;
  private final int r; // r = max(p, q + 1).
  
  StateSpaceARMA(final double[] differencedSeries, final double[] arParams, final double[] maParams) {
    this.differencedSeries = differencedSeries.clone();
    this.arParams = arParams.clone();
    this.maParams = maParams.clone();
    r = Math.max(arParams.length, maParams.length + 1);
    this.transitionMatrix = createTransitionMatrix();
    this.disturbanceVector = createMovingAverageVector();
    this.observationVector = createStateEffectsVector();
  }
  
  private double[] createStateEffectsVector() {
    double[] Z = new double[r];
    Z[0] = 1.0;
    return Z;
  }
  
  
  private double[] createMovingAverageVector() {
    double[] R = new double[r];
    R[0] = 1.0;
    System.arraycopy(maParams, 0, R, 1, maParams.length);
    return R;
  }
  private double[][] createTransitionMatrix() {
    double[][] T = new double[r][r];
    for (int i = 0; i < arParams.length; i++) {
      T[i][0] = arParams[i];
    }
    for (int i = 1; i < r; i++) {
      T[i - 1][i] = 1;
    }
    return T;
  }

  double[] differencedSeries() {
    return differencedSeries.clone();
  }

  double[] arParams() {
    return arParams.clone();
  }

  double[] maParams() {
    return maParams.clone();
  }
  
  final double[][] transitionMatrix() {
    return this.transitionMatrix.clone();
  }
  
  final double[] movingAverageVector() {
    return this.disturbanceVector.clone();
  }
  
  final double[] stateEffectsVector() {
    return this.observationVector.clone();
  }

  final int r() {
    return this.r;
  }
}