public class MultivariateInnovationAlgorithm extends Object
| Constructor and Description |
|---|
MultivariateInnovationAlgorithm(int T,
MultivariateAutoCovarianceFunction K)
Run the Innovation Algorithm to compute the prediction parameters,
V and Θ.
|
| Modifier and Type | Method and Description |
|---|---|
ImmutableMatrix |
covariance(int n)
Get the covariance matrix for prediction errors at time t for x^t+1.
|
ImmutableMatrix |
theta(int i,
int j)
Get the coefficients of the linear predictor.
|
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.