public class VARMAAutoCovariance extends MultivariateAutoCovarianceFunction
ARMAacf
and TacvfAR
in package FitAR
.Function.EvaluationException
Constructor and Description |
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VARMAAutoCovariance(VARMAModel model,
int nLags)
Compute the auto-covariance function for a vector ARMA model.
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Modifier and Type | Method and Description |
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Matrix |
evaluate(double i)
Get the i-th auto-covariance matrix.
|
Matrix |
evaluate(double i,
double j)
Evaluate f(x1, x2) = A.
|
get
dimensionOfDomain, dimensionOfRange, evaluate
public VARMAAutoCovariance(VARMAModel model, int nLags)
model
- an ARIMA modelnLags
- the number of lagspublic Matrix evaluate(double i, double j)
R2toMatrix
evaluate
in class R2toMatrix
i
- x1
j
- x2
f(x1, x2)
public Matrix evaluate(double i)
i
- the lag orderCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.