public class VARMAModel extends VARIMAModel
Constructor and Description |
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VARMAModel(ARMAModel model)
Construct a multivariate model from a univariate ARMA model.
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VARMAModel(Matrix[] phi,
Matrix[] theta)
Construct a multivariate ARMA model with unit variance and zero-intercept (mu).
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VARMAModel(Matrix[] phi,
Matrix[] theta,
Matrix sigma)
Construct a multivariate ARMA model with zero-intercept (mu).
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VARMAModel(VARMAModel that)
Copy constructor.
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VARMAModel(Vector mu,
Matrix[] phi,
Matrix[] theta)
Construct a multivariate ARMA model with unit variance.
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VARMAModel(Vector mu,
Matrix[] phi,
Matrix[] theta,
Matrix sigma)
Construct a multivariate ARMA model.
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Modifier and Type | Method and Description |
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Vector |
conditionalMean(Matrix arLags,
Matrix maLags)
Compute the multivariate ARMA conditional mean, given all the lags.
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VARMAModel |
getDemeanedModel()
Get the demeaned version of the time series model.
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Vector |
unconditionalMean()
Compute the multivariate ARMA unconditional mean.
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getVARMA
public VARMAModel(Vector mu, Matrix[] phi, Matrix[] theta, 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 coefficientsigma
- the white noise covariance matrixpublic VARMAModel(Vector mu, Matrix[] phi, Matrix[] theta)
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 coefficientpublic VARMAModel(Matrix[] phi, Matrix[] theta, 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 coefficientsigma
- the white noise covariance matrixpublic VARMAModel(Matrix[] phi, Matrix[] theta)
phi
- the AR coefficients (excluding the initial 1); null
if no AR coefficienttheta
- the MA coefficients (excluding the initial 1); null
if no MA coefficientpublic VARMAModel(ARMAModel model)
model
- a univariate ARMA modelpublic VARMAModel(VARMAModel that)
that
- a multivariate ARMA modelpublic Vector conditionalMean(Matrix arLags, Matrix maLags)
arLags
- the AR lagsmaLags
- the MA lagspublic Vector unconditionalMean()
public VARMAModel getDemeanedModel()
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