Modifier and Type | Method and Description |
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void |
MultivariateLinearKalmanFilter.filtering(MultivariateIntTimeTimeSeries Yt)
Filter the observations without control variable.
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void |
MultivariateLinearKalmanFilter.filtering(MultivariateIntTimeTimeSeries Yt,
MultivariateIntTimeTimeSeries Ut)
Filter the observations.
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Constructor and Description |
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MultivariateDLMSeries(int T,
MultivariateDLM model,
MultivariateIntTimeTimeSeries Ut)
Simulate a multivariate controlled dynamic linear model process.
|
MultivariateDLMSeries(int T,
MultivariateDLM model,
MultivariateIntTimeTimeSeries Ut,
NormalRVG rmvnorm)
Simulate a multivariate controlled dynamic linear model process.
|
Modifier and Type | Class and Description |
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class |
MultivariateSimpleTimeSeries
This simple multivariate time series has its vectored values indexed by integers.
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Constructor and Description |
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MultivariateForecastOneStep(MultivariateIntTimeTimeSeries Xt,
MultivariateAutoCovarianceFunction K)
Construct an instance of InnovationAlgorithm for a multivariate time series with known auto-covariance structure.
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Constructor and Description |
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VARFit(MultivariateIntTimeTimeSeries mts,
int p)
Estimate a VAR model from a multivariate time series.
|
VARMAForecastOneStep(MultivariateIntTimeTimeSeries Xt,
VARMAModel model)
Construct an instance of
InnovationAlgorithm for a multivariate ARMA time series. |
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