public class MultivariateInnovationAlgorithm extends Object
Constructor and Description |
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MultivariateInnovationAlgorithm(int T,
MultivariateAutoCovarianceFunction K)
Run the Innovation Algorithm to compute the prediction parameters,
V and Θ.
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Modifier and Type | Method and Description |
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ImmutableMatrix |
covariance(int n)
Get the covariance matrix for prediction errors at time t for x^t+1.
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ImmutableMatrix |
theta(int i,
int j)
Get the coefficients of the linear predictor.
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public MultivariateInnovationAlgorithm(int T, MultivariateAutoCovarianceFunction K)
T
- time series lengthK
- the covariance structure of the time seriespublic ImmutableMatrix theta(int i, int j)
i
- i
, ranging from 0 to Tj
- j
, ranging from 0 to Tpublic ImmutableMatrix covariance(int n)
n
- time, ranging from 0 to t, the end of observation timeCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.