Constructor and Description |
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VARMAModel(ARMAModel model)
Construct a multivariate model from a univariate ARMA model.
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Modifier and Type | Method and Description |
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ARMAModel |
ARIMAModel.getARMA()
Get the ARMA part of this ARIMA model, essentially ignoring the differencing.
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Modifier and Type | Class and Description |
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class |
ARModel
This class represents an AR model.
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class |
LinearRepresentation
The linear representation of an Autoregressive Moving Average (ARMA) model is a (truncated) infinite sum of AR terms.
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class |
MAModel
This class represents a univariate MA model.
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Modifier and Type | Method and Description |
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ARMAModel |
ConditionalSumOfSquares.getARMAModel()
Get the fitted ARMA model.
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ARMAModel |
ARMAModel.getDemeanedModel()
Get the demeaned version of the time series model.
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Modifier and Type | Method and Description |
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static AutoCovarianceFunction |
ARMAForecastOneStep.K(ARMAModel arma) |
Constructor and Description |
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ARMAForecast(IntTimeTimeSeries xt,
ARMAModel arma)
Constructs a forecaster for a time series assuming ARMA model.
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ARMAForecastMultiStep(double[] xt,
ARMAModel arma,
int h)
Makes the h-step ahead prediction for an ARMA model.
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ARMAForecastMultiStep(IntTimeTimeSeries xt,
ARMAModel arma)
Makes the one-step ahead prediction for an ARMA model.
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ARMAForecastMultiStep(IntTimeTimeSeries xt,
ARMAModel arma,
int h)
Makes the h-step ahead prediction for an ARMA model.
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ARMAForecastMultiStep(IntTimeTimeSeries xt,
ARMAModel arma,
int h,
InnovationsAlgorithm inn)
Makes the h-step ahead prediction for an ARMA model.
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ARMAForecastMultiStep(IntTimeTimeSeries xt,
ARMAModel arma,
int h,
InnovationsAlgorithm inn,
ARMAForecastOneStep forecast1)
Makes the h-step ahead prediction for an ARMA model.
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ARMAForecastOneStep(double[] xt,
ARMAModel arma)
Makes the one-step ahead prediction for an ARMA model.
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ARMAForecastOneStep(IntTimeTimeSeries xt,
ARMAModel arma)
Makes the one-step ahead prediction for an ARMA model.
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ARMAForecastOneStep(IntTimeTimeSeries xt,
ARMAModel arma,
InnovationsAlgorithm inn)
Makes the one-step ahead prediction for an ARMA model.
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ARMAModel(ARMAModel that)
Copy constructor.
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AutoCorrelation(ARMAModel model,
int nLags)
Compute the auto-correlation function for an ARMA model.
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AutoCovariance(ARMAModel model)
Computes the auto-covariance function for an ARMA model.
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LinearRepresentation(ARMAModel arma)
Construct the linear representation of an ARMA model up to the default number of lags
LinearRepresentation.DEFAULT_NUMBER_OF_LAGS . |
LinearRepresentation(ARMAModel arma,
int nLags)
Construct the linear representation of an ARMA model.
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Modifier and Type | Method and Description |
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ARMAModel |
ARMAGARCHModel.getARMAModel()
Get the ARMA part of this model.
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Constructor and Description |
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ARMAGARCHModel(ARMAModel arma,
GARCHModel garch)
Construct a univariate ARMA-GARCH model.
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