public class VARIMAModel extends VARIMAXModel
Constructor and Description |
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VARIMAModel(ARIMAModel model)
Construct a multivariate model from a univariate ARIMA model.
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VARIMAModel(Matrix[] phi,
int d,
Matrix[] theta)
Construct a multivariate ARIMA model with unit variance and zero-intercept (mu).
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VARIMAModel(Matrix[] phi,
int d,
Matrix[] theta,
Matrix sigma)
Construct a multivariate ARIMA model with zero-intercept (mu).
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VARIMAModel(VARIMAModel that)
Copy constructor.
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VARIMAModel(Vector mu,
Matrix[] phi,
int d,
Matrix[] theta)
Construct a multivariate ARIMA model with unit variance.
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VARIMAModel(Vector mu,
Matrix[] phi,
int d,
Matrix[] theta,
Matrix sigma)
Construct a multivariate ARIMA model.
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Modifier and Type | Method and Description |
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VARMAModel |
getVARMA()
Get the ARMA part of this ARIMA model, essentially ignoring the differencing.
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public VARIMAModel(Vector mu, Matrix[] phi, int d, Matrix[] theta, Matrix sigma)
mu
- the intercept (constant) vectorphi
- the AR coefficients (excluding the initial 1); null
if no AR coefficientd
- the order of integrationtheta
- the MA coefficients (excluding the initial 1); null
if no MA coefficientsigma
- the white noise covariance matrixpublic VARIMAModel(Vector mu, Matrix[] phi, int d, Matrix[] theta)
mu
- the intercept (constant) vectorphi
- the AR coefficients (excluding the initial 1); null
if no AR coefficientd
- the order of integrationtheta
- the MA coefficients (excluding the initial 1); null
if no MA coefficientpublic VARIMAModel(Matrix[] phi, int d, Matrix[] theta, Matrix sigma)
phi
- the AR coefficients (excluding the initial 1); null
if no AR coefficientd
- the order of integrationtheta
- the MA coefficients (excluding the initial 1); null
if no MA coefficientsigma
- the white noise covariance matrixpublic VARIMAModel(Matrix[] phi, int d, Matrix[] theta)
phi
- the AR coefficients (excluding the initial 1); null
if no AR coefficientd
- the order of integrationtheta
- the MA coefficients (excluding the initial 1); null
if no MA coefficientpublic VARIMAModel(ARIMAModel model)
model
- a univariate ARIMA modelpublic VARIMAModel(VARIMAModel that)
that
- a multivariate ARIMA modelpublic VARMAModel getVARMA()
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