public class VECM extends Object
Constructor and Description |
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VECM(VECM that)
Copy constructor.
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VECM(Vector mu,
Matrix pi,
Matrix[] gamma,
Matrix psi,
Matrix sigma)
Construct a VECM(p) model.
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Modifier and Type | Method and Description |
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int |
dimension()
Get the dimension of the multivariate time series.
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ImmutableMatrix[] |
gamma()
Get the AR coefficients of the lagged differences;
null if p = 1 |
ImmutableMatrix |
gamma(int i)
Get the AR coefficient of the i-th lagged differences.
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ImmutableVector |
mu()
Get the intercept vector.
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int |
p()
Get the order of the VECM model.
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ImmutableMatrix |
pi()
Get the impact matrix.
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ImmutableMatrix |
psi()
Get the coefficients of the deterministic terms.
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ImmutableMatrix |
sigma()
Get the white noise covariance matrix.
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public VECM(Vector mu, Matrix pi, Matrix[] gamma, Matrix psi, Matrix sigma)
mu
- the intercept (constant) vectorpi
- the impact matrixgamma
- the AR coefficients of the lagged differences; null
if p = 1psi
- the coefficients of the deterministic terms (excluding the intercept term)sigma
- the white noise covariance matrixpublic VECM(VECM that)
that
- a VECM modelpublic ImmutableVector mu()
public ImmutableMatrix pi()
public ImmutableMatrix gamma(int i)
i
- an index, counting from 1public ImmutableMatrix[] gamma()
null
if p = 1null
if p = 1public ImmutableMatrix psi()
null
public ImmutableMatrix sigma()
public int dimension()
public int p()
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