Modifier and Type | Class and Description |
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class |
SampleAutoCovariance
This is the sample Auto-Covariance Function (ACVF) for a univariate data set.
|
Constructor and Description |
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InnovationsAlgorithm(int T,
AutoCovarianceFunction K)
Constructs an instance of
InnovationsAlgorithm for a univariate time series with
known auto-covariance structure. |
Modifier and Type | Class and Description |
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class |
AutoCovariance
Computes the Auto-CoVariance Function (ACVF) for an AutoRegressive Moving Average (ARMA) model by
recursion.
|
Modifier and Type | Method and Description |
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static AutoCovarianceFunction |
ARMAForecastOneStep.K(ARMAModel arma) |
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