public class VMAModel extends VARMAModel
Constructor and Description |
---|
VMAModel(MAModel model)
Construct a multivariate MA model from a univariate MA model.
|
VMAModel(Matrix[] theta)
Construct a multivariate MA model with unit variance and zero-mean.
|
VMAModel(Matrix[] theta,
Matrix sigma)
Construct a multivariate MA model with zero-mean.
|
VMAModel(Vector mu,
Matrix[] theta)
Construct a multivariate MA model with unit variance.
|
VMAModel(Vector mu,
Matrix[] theta,
Matrix sigma)
Construct a multivariate MA model.
|
VMAModel(VMAModel that)
Copy constructor.
|
conditionalMean, getDemeanedModel, unconditionalMean
getVARMA
public VMAModel(Vector mu, Matrix[] theta, Matrix sigma)
mu
- the intercept (constant) vectortheta
- the MA coefficients (excluding the initial 1); null
if no MA coefficientsigma
- the white noise covariance matrixpublic VMAModel(Vector mu, Matrix[] theta)
mu
- the intercept (constant) vectortheta
- the MA coefficients (excluding the initial 1); null
if no MA coefficientpublic VMAModel(Matrix[] theta, Matrix sigma)
theta
- the MA coefficients (excluding the initial 1); null
if no MA coefficientsigma
- the white noise covariance matrixpublic VMAModel(Matrix[] theta)
theta
- the MA coefficients (excluding the initial 1); null
if no MA coefficientpublic VMAModel(MAModel model)
model
- a univariate MA modelpublic VMAModel(VMAModel that)
that
- a multivariate MA modelCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.