public class VARIMAModel extends VARIMAXModel
| Constructor and Description |
|---|
VARIMAModel(ARIMAModel model)
Construct a multivariate model from a univariate ARIMA model.
|
VARIMAModel(Matrix[] phi,
int d,
Matrix[] theta)
Construct a multivariate ARIMA model with unit variance and zero-intercept (mu).
|
VARIMAModel(Matrix[] phi,
int d,
Matrix[] theta,
Matrix sigma)
Construct a multivariate ARIMA model with zero-intercept (mu).
|
VARIMAModel(VARIMAModel that)
Copy constructor.
|
VARIMAModel(Vector mu,
Matrix[] phi,
int d,
Matrix[] theta)
Construct a multivariate ARIMA model with unit variance.
|
VARIMAModel(Vector mu,
Matrix[] phi,
int d,
Matrix[] theta,
Matrix sigma)
Construct a multivariate ARIMA model.
|
| Modifier and Type | Method and Description |
|---|---|
VARMAModel |
getVARMA()
Get the ARMA part of this ARIMA model, essentially ignoring the differencing.
|
public VARIMAModel(Vector mu, Matrix[] phi, int d, Matrix[] theta, 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 coefficientsigma - the white noise covariance matrixpublic VARIMAModel(Vector mu, Matrix[] phi, int d, Matrix[] theta)
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 coefficientpublic VARIMAModel(Matrix[] phi, int d, Matrix[] theta, 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 coefficientsigma - the white noise covariance matrixpublic VARIMAModel(Matrix[] phi, int d, Matrix[] theta)
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 coefficientpublic VARIMAModel(ARIMAModel model)
model - a univariate ARIMA modelpublic VARIMAModel(VARIMAModel that)
that - a multivariate ARIMA modelpublic VARMAModel getVARMA()
Copyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.