public class VARMAXModel extends VARIMAXModel
| Constructor and Description |
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VARMAXModel(ARMAXModel model)
Construct a multivariate model from a univariate ARMAX model.
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VARMAXModel(Matrix[] phi,
Matrix[] theta,
Matrix psi)
Construct a multivariate ARMAX model with unit variance and zero-intercept (mu).
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VARMAXModel(Matrix[] phi,
Matrix[] theta,
Matrix psi,
Matrix sigma)
Construct a multivariate ARMAX model with zero-intercept (mu).
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VARMAXModel(VARMAXModel that)
Copy constructor.
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VARMAXModel(Vector mu,
Matrix[] phi,
Matrix[] theta,
Matrix psi)
Construct a multivariate ARMAX model with unit variance.
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VARMAXModel(Vector mu,
Matrix[] phi,
Matrix[] theta,
Matrix psi,
Matrix sigma)
Construct a multivariate ARMAX model.
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| Modifier and Type | Method and Description |
|---|---|
Matrix |
armaxMean(Matrix arLags,
Matrix maLags,
Vector exVar)
Compute the multivariate ARMAX conditional mean.
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public VARMAXModel(Vector mu, Matrix[] phi, Matrix[] theta, Matrix psi, Matrix sigma)
mu - the intercept (constant) vectorphi - the AR coefficients (excluding the initial 1); null if no AR coefficienttheta - the MA coefficients (excluding the initial 1); null if no MA coefficientpsi - the coefficients of the deterministic terms (excluding the intercept term)sigma - the white noise covariance matrixpublic VARMAXModel(Vector mu, Matrix[] phi, Matrix[] theta, Matrix psi)
mu - the intercept (constant) vectorphi - the AR coefficients (excluding the initial 1); null if no AR coefficienttheta - the MA coefficients (excluding the initial 1); null if no MA coefficientpsi - the coefficients of the deterministic terms (excluding the intercept term)public VARMAXModel(Matrix[] phi, Matrix[] theta, Matrix psi, Matrix sigma)
phi - the AR coefficients (excluding the initial 1); null if no AR coefficienttheta - the MA coefficients (excluding the initial 1); null if no MA coefficientpsi - the coefficients of the deterministic terms (excluding the intercept term)sigma - the white noise covariance matrixpublic VARMAXModel(Matrix[] phi, Matrix[] theta, Matrix psi)
phi - the AR coefficients (excluding the initial 1); null if no AR coefficienttheta - the MA coefficients (excluding the initial 1); null if no MA coefficientpsi - the coefficients of the deterministic terms (excluding the intercept term)public VARMAXModel(ARMAXModel model)
model - a univariate ARIMA modelpublic VARMAXModel(VARMAXModel that)
that - a multivariate ARMAX modelCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.