public class VARXModel extends VARMAXModel
Constructor and Description |
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VARXModel(Matrix[] phi,
Matrix psi)
Construct a VARX model with unit variance and zero-mean.
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VARXModel(Matrix[] phi,
Matrix psi,
Matrix sigma)
Construct a VARX model with zero-mean.
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VARXModel(VARXModel that)
Copy constructor.
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VARXModel(VECMLongrun vecm)
Construct a VARX(p) from a long-run VECM(p).
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VARXModel(VECMTransitory vecm)
Construct a VARX(p) from a transitory VECM(p).
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VARXModel(Vector mu,
Matrix[] phi,
Matrix psi)
Construct a VARX model with unit variance.
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VARXModel(Vector mu,
Matrix[] phi,
Matrix psi,
Matrix sigma)
Construct a VARX model.
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public VARXModel(Vector mu, Matrix[] phi, Matrix psi, Matrix sigma)
mu
- the intercept (constant) vectorphi
- the AR coefficients (excluding the initial 1)psi
- the coefficients of the deterministic terms (excluding the intercept)sigma
- the white noise covariance matrixpublic VARXModel(Vector mu, Matrix[] phi, Matrix psi)
mu
- the intercept (constant) vectorphi
- the AR coefficients (excluding the initial 1)psi
- the coefficients of the deterministic terms (excluding the intercept)public VARXModel(Matrix[] phi, Matrix psi, Matrix sigma)
phi
- the AR coefficients (excluding the initial 1)psi
- the coefficients of the deterministic terms (excluding the intercept)sigma
- the white noise covariance matrixpublic VARXModel(Matrix[] phi, Matrix psi)
phi
- the AR coefficients (excluding the initial 1)psi
- the coefficients of the deterministic terms (excluding the intercept)public VARXModel(VECMTransitory vecm)
vecm
- a transitory VECM(p)public VARXModel(VECMLongrun vecm)
vecm
- a long-run VECM(p)public VARXModel(VARXModel that)
that
- a VARX modelCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.