MODEL.getSeries(PHI, P, THETA, Q, new LocalDate[0]);
}
@Test
public void test() {
final AutocovarianceFunctionCalculator autocovariance = new AutocovarianceFunctionCalculator();
final AutocorrelationFunctionCalculator autocorrelation = new AutocorrelationFunctionCalculator();
final double[] rhoAR = autocorrelation.evaluate(AR);
final double[] rhoMA = autocorrelation.evaluate(MA);
final double[] rhoARMAP0 = autocorrelation.evaluate(MODEL.getSeries(PHI, P, null, 0, DATES));
final double[] rhoARMA0Q = autocorrelation.evaluate(MODEL.getSeries(null, 0, THETA, Q, DATES));
final double eps = Math.sqrt(STD) + 0.01;
for (int i = 0; i < 200; i++) {
assertEquals(Math.abs(rhoARMAP0[i] - rhoAR[i]), 0., eps);
assertEquals(Math.abs(rhoARMA0Q[i] - rhoMA[i]), 0., eps);
}
final double[] rhoARMA11 = autocorrelation.evaluate(ARMA11);
final double[] gammaARMA11 = autocovariance.evaluate(ARMA11);
assertEquals(PHI[1] - THETA[1] * STD * STD / gammaARMA11[0], rhoARMA11[1], eps);
}