PsiTSIntegrate(order, c1, c2)

PsiTSIntegrate is a property supported by a time series that applies an integration in the time series where:

  • order is the type of integration applied to the time series.  This argument may take on values of 0 (none), 1 (1st order) or 2 (2nd order). 
  • c1 is the first starting constant and c2 is the second starting constant.

PsiTSIntegrate, PsiTSSeasonality and PsiTSTransform may only be used in conjunction with a Time Series and may be applied in any order.  These three properties are necessary to transform the generated vector to the original scale of the historical data. The Time Series which support these properties are:  PsiAR1, PsiAR2, PsiMA1, PsiMA2, PsiARMA11, PsiARCH1, PsiGARCH11, PsiEGARCH11 or PsiAPARCH11.  Additional properties supported by the Time Series functions are PsiLock, PsiStatic and PsiCorrMatrix.  Note that there is no truncation, shifting, censoring or individual seeding for a time series. 


PsiAR1(1,1,0,1,PsiTSIntegrate(2, 4, 10)) will apply a 2nd order integration using   c1 = 4 and c2 = 10.