public class VMAModel extends VARMAModel
| Constructor and Description |
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VMAModel(MAModel model)
Construct a multivariate MA model from a univariate MA model.
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VMAModel(Matrix[] theta)
Construct a multivariate MA model with unit variance and zero-mean.
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VMAModel(Matrix[] theta,
Matrix sigma)
Construct a multivariate MA model with zero-mean.
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VMAModel(Vector mu,
Matrix[] theta)
Construct a multivariate MA model with unit variance.
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VMAModel(Vector mu,
Matrix[] theta,
Matrix sigma)
Construct a multivariate MA model.
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VMAModel(VMAModel that)
Copy constructor.
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conditionalMean, getDemeanedModel, unconditionalMeangetVARMApublic 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.