I've got an ARIMA model (with a GARCH model for variance estimation) and parameters estimated in Matlab for my set of data. Now I need to use this model in my Java based application for making forecasts for new data.
Are there any free Java libraries with such functionality (mainly interested in analog of ARIMA/forecast functionality from Matlab without estimating etc.)?
I only found commercial SuanShu (from NumericalMethods) and IMSL from RogueWave. They are cool but cost money.
Of course there is way to do own implementation for forecasting but not sure if I have time for that. Using remote connection to Matlab / R server is too not suitable in my case.
So any help would be appreciated.
PS: Actually any C/C++ libraries would be fine too cause I could use JNI/JNA for calling it.