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.