public class ARMAModel extends ARIMAModel
| Constructor and Description |
|---|
ARMAModel(ARMAModel that)
Copy constructor.
|
ARMAModel(double[] AR,
double[] MA)
Construct a univariate ARMA model with unit variance and zero-intercept
(mu).
|
ARMAModel(double[] AR,
double[] MA,
double sigma)
Construct a univariate ARMA model with zero-intercept (mu).
|
ARMAModel(double mu,
double[] AR,
double[] MA)
Construct a univariate ARMA model with unit variance.
|
ARMAModel(double mu,
double[] AR,
double[] MA,
double sigma)
Construct a univariate ARMA model.
|
| Modifier and Type | Method and Description |
|---|---|
double |
conditionalMean(double[] arLags,
double[] maLags)
Compute the univariate ARMA conditional mean, given all the lags.
|
ARMAModel |
getDemeanedModel()
Get the demeaned version of the time series model.
|
double |
unconditionalMean()
Compute the multivariate ARMA unconditional mean.
|
getARMApublic ARMAModel(double mu,
double[] AR,
double[] MA,
double sigma)
mu - the intercept (constant) termAR - the AR coefficients (excluding the initial 1); null
if no AR coefficientsMA - the MA coefficients (excluding the initial 1); null
if no MA coefficientssigma - the white noise variancepublic ARMAModel(double mu,
double[] AR,
double[] MA)
mu - the intercept (constant) termAR - the AR coefficients (excluding the initial 1); null if
no AR coefficientsMA - the MA coefficients (excluding the initial 1); null if
no MA coefficientspublic ARMAModel(double[] AR,
double[] MA,
double sigma)
AR - the AR coefficients (excluding the initial 1); null
if no AR coefficientsMA - the MA coefficients (excluding the initial 1); null
if no MA coefficientssigma - the white noise variancepublic ARMAModel(double[] AR,
double[] MA)
AR - the AR coefficients (excluding the initial 1); null if
no AR coefficientsMA - the MA coefficients (excluding the initial 1); null if
no MA coefficientspublic ARMAModel(ARMAModel that)
that - a univariate ARMA modelpublic double conditionalMean(double[] arLags,
double[] maLags)
arLags - the AR lagsmaLags - the MA lagspublic double unconditionalMean()
public ARMAModel getDemeanedModel()
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