/usr/include/openturns/ARMA.hxx is in libopenturns-dev 1.2-2.
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/**
* @file ARMA.hxx
* @brief A class which implements the ARMA process
*
* Copyright (C) 2005-2013 EDF-EADS-Phimeca
*
* This library is free software: you can redistribute it and/or modify
* it under the terms of the GNU Lesser General Public License as published by
* the Free Software Foundation, either version 3 of the License, or
* (at your option) any later version.
*
* This library is distributed in the hope that it will be useful,
* but WITHOUT ANY WARRANTY; without even the implied warranty of
* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
* GNU Lesser General Public License for more details.
*
* You should have received a copy of the GNU Lesser General Public
* along with this library. If not, see <http://www.gnu.org/licenses/>.
*
* @author schueller
* @date 2012-07-16 10:12:54 +0200 (Mon, 16 Jul 2012)
*/
#ifndef OPENTURNS_ARMA_HXX
#define OPENTURNS_ARMA_HXX
#include "ProcessImplementation.hxx"
#include "Process.hxx"
#include "Pointer.hxx"
#include "Distribution.hxx"
#include "ARMACoefficients.hxx"
#include "ARMAState.hxx"
#include "WhiteNoise.hxx"
BEGIN_NAMESPACE_OPENTURNS
/**
* @class ARMA
*
* An interface class for ARMA
*/
class ARMA
: public ProcessImplementation
{
CLASSNAME;
public:
/** Some typedefs to ease reading */
/** Default constructor */
ARMA(const String & name = DefaultName);
/** Standard constructor with coefficients and a White Noise */
ARMA(const ARMACoefficients & ARCoefficients,
const ARMACoefficients & MACoefficients,
const WhiteNoise & whiteNoise,
const String & name = DefaultName);
/** Standard constructor with coefficients, a White Noise and a state */
ARMA(const ARMACoefficients & ARCoefficients,
const ARMACoefficients & MACoefficients,
const WhiteNoise & whiteNoise,
const ARMAState & state,
const String & name = DefaultName);
/** Virtual constructor */
ARMA * clone() const;
/** String converter */
String __repr__() const;
/** String converter - pretty print */
String __str__(const String & offset = "") const;
/** Is the underlying a stationary process ? */
Bool isStationary() const;
/** Is the underlying a Normal process ? */
Bool isNormal() const;
/** Realization accessor */
TimeSeries getRealization() const;
/** Prediction of the N futur iterations of an ARMA process */
using ProcessImplementation::getFuture;
TimeSeries getFuture(const UnsignedLong stepNumber) const;
/** Coefficients accessor : AR & MA */
ARMACoefficients getARCoefficients() const;
ARMACoefficients getMACoefficients() const;
/** State accessor of the ARMA process */
ARMAState getState() const;
void setState(const ARMAState & state) const;
/** WhiteNoise accessor of the ARMA process */
WhiteNoise getWhiteNoise() const;
void setWhiteNoise(const WhiteNoise & whiteNoise);
/** Computation of nThermalization */
UnsignedLong computeNThermalization(const NumericalScalar epsilon) const;
/** Nthermalization accessor - Visibility is done */
UnsignedLong getNThermalization() const;
/** Nthermalization accessor - Setting the value */
void setNThermalization(const UnsignedLong n);
/** Get the random vector corresponding to the i-th marginal component */
Implementation getMarginalProcess(const UnsignedLong i) const;
/** Get the marginal random vector corresponding to indices components */
Implementation getMarginalProcess(const Indices & indices) const;
/** Method save() stores the object through the StorageManager */
void save(Advocate & adv) const;
/** Method load() reloads the object from the StorageManager */
void load(Advocate & adv);
private:
/** Compute the steps next values of the process starting from the current state.
The result is the current state extended stepNumber steps further */
ARMAState computeReccurence(const UnsignedLong stepNumber) const;
/** thermalize method */
void thermalize() const;
/** AR coefficients of the ARMA process */
ARMACoefficients ARCoefficients_;
/** MA coefficients of the ARMA process */
ARMACoefficients MACoefficients_;
/** The distribution underlying the White Noise of the process */
Distribution noiseDistribution_;
/** Size of AR part */
UnsignedLong p_;
/** Size of MA part */
UnsignedLong q_;
/** Mutable current state of the ARMA process */
mutable ARMAState state_;
/** Boolean flag - compute once the number of iterations of the thermalize */
mutable Bool hasComputedNThermalization_;
/** Number of iterations for the thermalize method */
mutable UnsignedLong nThermalization_;
}; /* class ARMA */
END_NAMESPACE_OPENTURNS
#endif /* OPENTURNS_ARMA_HXX */
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