Package | Description |
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dev.nm.stat.dlm.univariate | |
tech.nmfin.meanreversion.elliott2005 |
Constructor and Description |
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DLM(DLM that)
Copy constructor.
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DLMSeries(int T,
DLM model)
Simulate a univariate controlled dynamic linear model process.
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DLMSeries(int T,
DLM model,
double[] u)
Simulate a univariate controlled dynamic linear model process.
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DLMSeries(int T,
DLM model,
double[] u,
RandomStandardNormalGenerator rnorm)
Simulate a univariate controlled dynamic linear model process.
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DLMSim(DLM model,
RandomStandardNormalGenerator rnorm)
Simulate a univariate controlled dynamic linear model process.
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LinearKalmanFilter(DLM model)
Construct a Kalman filter from a univariate controlled dynamic linear model.
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Modifier and Type | Class and Description |
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class |
Elliott2005DLM
This class implements the Kalman filter model as in Elliott's paper.
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class |
ElliottOnlineFilter
It is important to note that this algorithm does not guarantee that
A > 0
0 < B < 1
Therefore, we need to check the outputs.
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