public class InnovationsAlgorithm extends Object
| Constructor and Description |
|---|
InnovationsAlgorithm(int T,
AutoCovarianceFunction K)
Constructs an instance of
InnovationsAlgorithm for a univariate time series with
known auto-covariance structure. |
| Modifier and Type | Method and Description |
|---|---|
double |
theta(int i,
int j)
Gets the coefficients of the linear predictor.
|
double |
var(int n)
Gets the mean squared error for prediction errors at time n for \(\hat{x}_{n+1}\),
i.e.,
\(E(x_{n+1} - \hat{x}_{n+1})^2\).
|
InnovationsAlgorithm |
withNewLength(int T) |
public InnovationsAlgorithm(int T,
AutoCovarianceFunction K)
InnovationsAlgorithm for a univariate time series with
known auto-covariance structure.T - time series lengthK - the auto-covariance functionpublic InnovationsAlgorithm withNewLength(int T)
public double theta(int i,
int j)
i - i, ranging from 0 to Tj - j, ranging from 0 to Tpublic double var(int n)
n - time, ranging from 0 to T, the end of observation timeCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.