Constructor and Description |
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VARIMAXModel(ARIMAXModel model)
Construct a multivariate ARIMAX model from a univariate ARIMAX model.
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Modifier and Type | Class and Description |
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class |
ARIMAModel
An ARIMA(p, d, q) process, Xt, is such that
\[
(1 - B)^d X_t = Y_t
\]
where
B is the backward or lag operator, d the order of difference,
Yt an ARMA(p, q) process, for which
\[
Y_t = \mu + \Sigma \phi_i Y_{t-i} + \Sigma \theta_j \epsilon_{t-j} + \epsilon_t,
\]
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Constructor and Description |
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ARIMAXModel(ARIMAXModel that)
Copy constructor.
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Modifier and Type | Class and Description |
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class |
ARMAModel
A univariate ARMA model, Xt, takes this form.
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class |
ARMAXModel
The ARMAX model (ARIMA model with eXogenous inputs) is a generalization of the ARMA model by incorporating exogenous variables.
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class |
ARModel
This class represents an AR model.
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class |
LinearRepresentation
The linear representation of an Autoregressive Moving Average (ARMA) model is a (truncated) infinite sum of AR terms.
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class |
MAModel
This class represents a univariate MA model.
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