Package | Description |
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dev.nm.stat.timeseries.linear.multivariate.stationaryprocess.arma | |
tech.nmfin.portfoliooptimization.lai2010.fit |
Modifier and Type | Class and Description |
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class |
VARFit
This class construct a VAR model by estimating the coefficients using OLS regression.
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class |
VARLinearRepresentation
The linear representation of an Autoregressive Moving Average (ARMA) model is a (truncated)
infinite sum of AR terms.
|
Constructor and Description |
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VARModel(VARModel that)
Copy constructor.
|
Modifier and Type | Class and Description |
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class |
SimpleAR1Fit
This class does a quick AR(1) fitting to the time series, essentially
treating the returns as independent.
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