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9 changes: 7 additions & 2 deletions Indicators/AutoRegressiveIntegratedMovingAverage.cs
Original file line number Diff line number Diff line change
Expand Up @@ -131,9 +131,14 @@ public AutoRegressiveIntegratedMovingAverage(
"currently available fitting methods.");
}

if (period < Math.Max(arOrder, maOrder))
// ComputeNextValue indexes arrayData and _residuals up to 2 * maOrder, over a
// series DifferenceSeries shortens only when diffOrder is positive.
var shortest = Math.Max(arOrder, maOrder > 0 ? (2 * maOrder) + 1 : 0)
+ Math.Max(diffOrder, 0);
if (period < shortest)
{
throw new ArgumentException("Period must exceed both arOrder and maOrder");
throw new ArgumentException($"Period parameter for ARIMA({arOrder}, {diffOrder}, " +
$"{maOrder}) indicator must be at least {shortest} but was {period}");
}

_arOrder = arOrder;
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25 changes: 25 additions & 0 deletions Tests/Indicators/AutoregressiveIntegratedMovingAverageTests.cs
Original file line number Diff line number Diff line change
Expand Up @@ -69,6 +69,31 @@ public void AcceptsAnAutoRegressiveOrderAboveTheMovingAverageOrder(int arOrder,
Assert.IsTrue(arima.IsReady);
}

[TestCase(1, 0, 1, 3)]
[TestCase(1, 1, 1, 4)]
[TestCase(2, 1, 2, 6)]
[TestCase(1, 2, 0, 3)]
[TestCase(1, -2, 1, 3)]
[TestCase(1, -3, 2, 5)]
public void RejectsAPeriodTooShortForItsOrders(int arOrder, int diffOrder, int maOrder, int shortest)
{
var exception = Assert.Throws<ArgumentException>(() =>
new AutoRegressiveIntegratedMovingAverage(arOrder, diffOrder, maOrder, shortest - 1, true));
Assert.That(exception.Message, Is.EqualTo(
$"Period parameter for ARIMA({arOrder}, {diffOrder}, {maOrder}) indicator " +
$"must be at least {shortest} but was {shortest - 1}"));

var arima = new AutoRegressiveIntegratedMovingAverage(arOrder, diffOrder, maOrder, shortest, true);
var reference = new DateTime(2020, 1, 1);

for (var i = 0; i < shortest + 1; i++)
{
arima.Update(reference.AddDays(i), 100m + (decimal)Math.Sin(i / 3d) * 5m);
}

Assert.IsTrue(arima.IsReady);
}

[Test]
public void PredictionErrorAgainstExternalData()
{
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