public class VARIMAXModel extends Object
| Constructor and Description |
|---|
VARIMAXModel(ARIMAXModel model)
Construct a multivariate ARIMAX model from a univariate ARIMAX model.
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VARIMAXModel(Matrix[] phi,
int d,
Matrix[] theta,
Matrix psi)
Construct a multivariate ARIMAX model with unit variance and zero-intercept (mu).
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VARIMAXModel(Matrix[] phi,
int d,
Matrix[] theta,
Matrix psi,
Matrix sigma)
Construct a multivariate ARIMAX model with zero-intercept (mu).
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VARIMAXModel(VARIMAXModel that)
Copy constructor.
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VARIMAXModel(Vector mu,
Matrix[] phi,
int d,
Matrix[] theta,
Matrix psi)
Construct a multivariate ARIMAX model with unit variance.
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VARIMAXModel(Vector mu,
Matrix[] phi,
int d,
Matrix[] theta,
Matrix psi,
Matrix sigma)
Construct a multivariate ARIMAX model.
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| Modifier and Type | Method and Description |
|---|---|
ImmutableMatrix |
AR(int i)
Get the i-th AR coefficient; AR(0) = 1.
|
int |
d()
Get the order of integration.
|
int |
dimension()
Get the dimension of multivariate time series.
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VARMAXModel |
getVARMAX()
Get the ARMAX part of this ARIMAX model, essentially ignoring the differencing.
|
ImmutableMatrix |
MA(int i)
Get the i-th MA coefficient; MA(0) = 1.
|
int |
maxPQ()
Get the maximum of AR length or MA length.
|
ImmutableVector |
mu()
Get the intercept (constant) vector.
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int |
p()
Get the number of AR terms.
|
ImmutableMatrix[] |
phi()
Get all the AR coefficients.
|
ImmutableMatrix |
psi()
Get the coefficients of the deterministic terms.
|
int |
q()
Get the number of MA terms.
|
ImmutableMatrix |
sigma()
Get the white noise covariance matrix.
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ImmutableMatrix[] |
theta()
Get all the MA coefficients.
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public VARIMAXModel(Vector mu, Matrix[] phi, int d, Matrix[] theta, Matrix psi, 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 coefficientpsi - the coefficients of the deterministic terms (excluding the intercept term)sigma - the white noise covariance matrixpublic VARIMAXModel(Vector mu, Matrix[] phi, int d, Matrix[] theta, Matrix psi)
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 coefficientpsi - the coefficients of the deterministic terms (excluding the intercept term)public VARIMAXModel(Matrix[] phi, int d, Matrix[] theta, Matrix psi, 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 coefficientpsi - the coefficients of the deterministic terms (excluding the intercept term)sigma - the white noise covariance matrixpublic VARIMAXModel(Matrix[] phi, int d, Matrix[] theta, Matrix psi)
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 coefficientpsi - the coefficients of the deterministic terms (excluding the intercept term)public VARIMAXModel(VARIMAXModel that)
that - a multivariate ARIMAX modelpublic VARIMAXModel(ARIMAXModel model)
model - a univariate ARIMAX modelpublic ImmutableVector mu()
public ImmutableMatrix AR(int i)
i - an indexpublic ImmutableMatrix[] phi()
public ImmutableMatrix MA(int i)
i - an indexpublic ImmutableMatrix[] theta()
public ImmutableMatrix psi()
nullpublic int d()
public int dimension()
public int p()
public int q()
public int maxPQ()
public ImmutableMatrix sigma()
public VARMAXModel getVARMAX()
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