public class VARMAForecastOneStep extends Object
Constructor and Description |
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VARMAForecastOneStep(MultivariateIntTimeTimeSeries Xt,
VARMAModel model)
Construct an instance of
InnovationAlgorithm for a multivariate ARMA time series. |
Modifier and Type | Method and Description |
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ImmutableMatrix |
covariance(int n)
Get the covariance matrix for prediction errors for \(\hat{x}_{n+1}\), made at time n.
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ImmutableMatrix |
theta(int i,
int j)
Get the coefficients of the linear predictor.
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ImmutableVector |
xHat(int n)
Get the one-step prediction \(\hat{X}_{n+1} = P_{\mathfrak{S_n}}X_{n+1}\), made at time n.
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public VARMAForecastOneStep(MultivariateIntTimeTimeSeries Xt, VARMAModel model)
InnovationAlgorithm
for a multivariate ARMA time series.Xt
- an m-dimensional time seriesmodel
- the ARMA modelpublic ImmutableVector xHat(int n)
n
- time, ranging from 0 to T, the end of observation timepublic ImmutableMatrix theta(int i, int j)
i
- i
, ranging from 1 to tj
- j
, ranging from 1 to tpublic ImmutableMatrix covariance(int n)
n
- time, ranging from 0 to T, the end of observation timeCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.