public class ARMAXModel extends ARIMAXModel
| Constructor and Description |
|---|
ARMAXModel(ARMAXModel that)
Copy constructor.
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ARMAXModel(double[] AR,
double[] MA,
double[] psi)
Construct a univariate ARMAX model with unit variance and zero-intercept (mu).
|
ARMAXModel(double[] AR,
double[] MA,
double[] psi,
double sigma)
Construct a univariate ARMAX model with zero-intercept (mu).
|
ARMAXModel(double mu,
double[] AR,
double[] MA,
double[] psi)
Construct a univariate ARMAX model with unit variance.
|
ARMAXModel(double mu,
double[] AR,
double[] MA,
double[] psi,
double sigma)
Construct a univariate ARMAX model.
|
| Modifier and Type | Method and Description |
|---|---|
double |
armaxMean(double[] arLags,
double[] maLags,
double[] exVar)
Compute the univariate ARMAX conditional mean.
|
public ARMAXModel(double mu,
double[] AR,
double[] MA,
double[] psi,
double sigma)
mu - the intercept (constant) termAR - the AR coefficients (excluding the initial 1); null if no AR coefficientsMA - the MA coefficients (excluding the initial 1); null if no MA coefficientspsi - the coefficients of the deterministic terms (excluding the intercept term)sigma - the white noise variancepublic ARMAXModel(double mu,
double[] AR,
double[] MA,
double[] psi)
mu - the intercept (constant) termAR - the AR coefficients (excluding the initial 1); null if no AR coefficientsMA - the MA coefficients (excluding the initial 1); null if no MA coefficientspsi - the coefficients of the deterministic terms (excluding the intercept term)public ARMAXModel(double[] AR,
double[] MA,
double[] psi,
double sigma)
AR - the AR coefficients (excluding the initial 1); null if no AR coefficientsMA - the MA coefficients (excluding the initial 1); null if no MA coefficientspsi - the coefficients of the deterministic terms (excluding the intercept term)sigma - the white noise variancepublic ARMAXModel(double[] AR,
double[] MA,
double[] psi)
AR - the AR coefficients (excluding the initial 1); null if no AR coefficientsMA - the MA coefficients (excluding the initial 1); null if no MA coefficientspsi - the coefficients of the deterministic terms (excluding the intercept term)public ARMAXModel(ARMAXModel that)
that - a univariate ARMAX modelCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.