Package | Description |
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dev.nm.stat.timeseries.linear.multivariate.stationaryprocess | |
dev.nm.stat.timeseries.linear.multivariate.stationaryprocess.arma |
Constructor and Description |
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MultivariateForecastOneStep(MultivariateIntTimeTimeSeries Xt,
MultivariateAutoCovarianceFunction K)
Construct an instance of InnovationAlgorithm for a multivariate time series with known auto-covariance structure.
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MultivariateInnovationAlgorithm(int T,
MultivariateAutoCovarianceFunction K)
Run the Innovation Algorithm to compute the prediction parameters,
V and Θ.
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Modifier and Type | Class and Description |
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class |
VARMAAutoCovariance
Compute the Auto-CoVariance Function (ACVF) for a vector AutoRegressive Moving Average (ARMA) model, assuming that
EXt = 0.
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