Package | Description |
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dev.nm.stat.timeseries.linear.univariate.stationaryprocess | |
dev.nm.stat.timeseries.linear.univariate.stationaryprocess.arma |
Modifier and Type | Method and Description |
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InnovationsAlgorithm |
InnovationsAlgorithm.withNewLength(int T) |
Modifier and Type | Method and Description |
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InnovationsAlgorithm |
ARMAForecastMultiStep.getStandardError()
Gets the the auxiliary coefficients, Θ and V, in using the innovative algorithm.
|
Constructor and Description |
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ARMAForecastMultiStep(IntTimeTimeSeries xt,
ARMAModel arma,
int h,
InnovationsAlgorithm inn)
Makes the h-step ahead prediction for an ARMA model.
|
ARMAForecastMultiStep(IntTimeTimeSeries xt,
ARMAModel arma,
int h,
InnovationsAlgorithm inn,
ARMAForecastOneStep forecast1)
Makes the h-step ahead prediction for an ARMA model.
|
ARMAForecastOneStep(IntTimeTimeSeries xt,
ARMAModel arma,
InnovationsAlgorithm inn)
Makes the one-step ahead prediction for an ARMA model.
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