SARIMAX

Seasonal ARIMA with Exogenous Variables Class and Functions

sarimax_object sarimax_init(int p, int d, int q,int P, int D, int Q,int s, int r,int imean, int N);

p - Number of Autoregressive coefficients
d - Number of times the series needs to be differenced
q - Number of Moving Average Coefficients
P - Number of Seasonal Autoregressive coefficients
D - Number of times the seasonal series needs to be differenced (s*D)
Q - Number of Seasonal Moving Average Coefficients
s - Seasonality/Period
r - Number of Exogenous Variables. (Important - Make sure it is set to 0 if none.
imean - 1 : Calculate mean/intercept. 0 : Otherwise
N - Length of Time Series

Execution

void sarimax_exec(sarimax_object obj, double *inp,double *xreg) ;

obj - SARIMAX object
inp - Input Time series of length N
xreg - Exogenous Variables of size r*N (row major order)

In case r=0 and no exogenous variables are present set xreg field to NULL