public class VARModel extends VARMAModel
Constructor and Description |
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VARModel(ARModel model)
Construct a multivariate model from a univariate AR model.
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VARModel(Matrix[] phi)
Construct a VAR model with unit variance and zero-intercept (mu).
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VARModel(Matrix[] phi,
Matrix sigma)
Construct a VAR model with zero-intercept (mu).
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VARModel(VARModel that)
Copy constructor.
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VARModel(Vector mu,
Matrix[] phi)
Construct a VAR model with unit variance.
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VARModel(Vector mu,
Matrix[] phi,
Matrix sigma)
Construct a VAR model.
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conditionalMean, getDemeanedModel, unconditionalMean
getVARMA
public VARModel(Vector mu, Matrix[] phi, Matrix sigma)
mu
- the intercept (constant) vectorphi
- the AR coefficients (excluding the initial 1)sigma
- the white noise covariance matrixpublic VARModel(Vector mu, Matrix[] phi)
mu
- the intercept (constant) vectorphi
- the AR coefficients (excluding the initial 1)public VARModel(Matrix[] phi, Matrix sigma)
phi
- the AR coefficients (excluding the initial 1)sigma
- the white noise covariance matrixpublic VARModel(Matrix[] phi)
phi
- the AR coefficients (excluding the initial 1)public VARModel(ARModel model)
model
- a univariate AR modelpublic VARModel(VARModel that)
that
- a VAR modelCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.