Multi-Factor ARMA Software

The call rates depends on several factors what is usual in statistical prediction problems. That is the main difference from the traditional ARMA and ARFIMA software for the exchange rate prediction (see [14]). The ARFIMA software and applications are described in [14].

We consider a version of an extended ARMA model which includes external factors (see expressions 1.28 and 1.29). The programs are in the files 'main.C', 'fi.C', and 'fitimeb.h' on the web-site (see section ). The results of simple test are in the files 'test.out' and 'test.progn.out'. The test data is in the file 'test.data', the initiation file is 'test.ini'. The results of the call rate example are in the files 'call.out' and 'call.progn.out'. The test data is in the file 'call.data', the initiation file is 'call2.ini'. The names of the data files are referred as INP in the initiation file INIFILE.

The software is compiled and run this way:

Compile by 'make onestep',
Run by 'onestep > results.out'