public class ARMAModel extends ARIMAModel
Constructor and Description |
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ARMAModel(ARMAModel that)
Copy constructor.
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ARMAModel(double[] AR,
double[] MA)
Construct a univariate ARMA model with unit variance and zero-intercept
(mu).
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ARMAModel(double[] AR,
double[] MA,
double sigma)
Construct a univariate ARMA model with zero-intercept (mu).
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ARMAModel(double mu,
double[] AR,
double[] MA)
Construct a univariate ARMA model with unit variance.
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ARMAModel(double mu,
double[] AR,
double[] MA,
double sigma)
Construct a univariate ARMA model.
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Modifier and Type | Method and Description |
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double |
conditionalMean(double[] arLags,
double[] maLags)
Compute the univariate ARMA conditional mean, given all the lags.
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ARMAModel |
getDemeanedModel()
Get the demeaned version of the time series model.
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double |
unconditionalMean()
Compute the multivariate ARMA unconditional mean.
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getARMA
public ARMAModel(double mu, double[] AR, double[] MA, double sigma)
mu
- the intercept (constant) termAR
- the AR coefficients (excluding the initial 1); null
if no AR coefficientsMA
- the MA coefficients (excluding the initial 1); null
if no MA coefficientssigma
- the white noise variancepublic ARMAModel(double mu, double[] AR, double[] MA)
mu
- the intercept (constant) termAR
- the AR coefficients (excluding the initial 1); null
if
no AR coefficientsMA
- the MA coefficients (excluding the initial 1); null
if
no MA coefficientspublic ARMAModel(double[] AR, double[] MA, double sigma)
AR
- the AR coefficients (excluding the initial 1); null
if no AR coefficientsMA
- the MA coefficients (excluding the initial 1); null
if no MA coefficientssigma
- the white noise variancepublic ARMAModel(double[] AR, double[] MA)
AR
- the AR coefficients (excluding the initial 1); null
if
no AR coefficientsMA
- the MA coefficients (excluding the initial 1); null
if
no MA coefficientspublic ARMAModel(ARMAModel that)
that
- a univariate ARMA modelpublic double conditionalMean(double[] arLags, double[] maLags)
arLags
- the AR lagsmaLags
- the MA lagspublic double unconditionalMean()
public ARMAModel getDemeanedModel()
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