Constructor and Description |
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VARIMAModel(VARIMAModel that)
Copy constructor.
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VARIMASim(VARIMAModel arima)
Construct a multivariate ARIMA model, using random standard Gaussian innovations.
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VARIMASim(VARIMAModel arima,
RandomVectorGenerator rvg)
Construct a multivariate ARIMA model.
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VARIMASim(VARIMAModel arima,
Vector[] lags,
Vector[] innovations,
RandomVectorGenerator rvg)
Construct a multivariate ARIMA model.
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Modifier and Type | Class and Description |
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class |
VARFit
This class construct a VAR model by estimating the coefficients using OLS regression.
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class |
VARLinearRepresentation
The linear representation of an Autoregressive Moving Average (ARMA) model is a (truncated)
infinite sum of AR terms.
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class |
VARMAModel
A multivariate ARMA model, Xt, takes this form.
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class |
VARModel
This class represents a VAR model.
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class |
VMAModel
This class represents a multivariate MA model.
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Modifier and Type | Class and Description |
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class |
SimpleAR1Fit
This class does a quick AR(1) fitting to the time series, essentially
treating the returns as independent.
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