public class VARIMASim extends Object implements RandomVectorGenerator
| Constructor and Description |
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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 | Method and Description |
|---|---|
double[] |
nextVector()
Get the next random vector.
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void |
seed(long... seeds)
Seed the random number/vector/scenario generator to produce repeatable experiments.
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public VARIMASim(VARIMAModel arima, Vector[] lags, Vector[] innovations, RandomVectorGenerator rvg)
arima - a multivariate ARIMA modellags - the lags of AR length; lags[0] is \(x_{t-1}\)innovations - the innovations of MA length; innovations[0] is \(e_{t-1}\)rvg - a random vector generator to generate innovationspublic VARIMASim(VARIMAModel arima, RandomVectorGenerator rvg)
arima - a multivariate ARIMA modelrvg - a random vector generator to generate innovationspublic VARIMASim(VARIMAModel arima)
arima - an ARIMA modelpublic void seed(long... seeds)
Seedablepublic double[] nextVector()
RandomVectorGeneratornextVector in interface RandomVectorGeneratorCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.