public class ARMAXModel extends ARIMAXModel
Constructor and Description |
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ARMAXModel(ARMAXModel that)
Copy constructor.
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ARMAXModel(double[] AR,
double[] MA,
double[] psi)
Construct a univariate ARMAX model with unit variance and zero-intercept (mu).
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ARMAXModel(double[] AR,
double[] MA,
double[] psi,
double sigma)
Construct a univariate ARMAX model with zero-intercept (mu).
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ARMAXModel(double mu,
double[] AR,
double[] MA,
double[] psi)
Construct a univariate ARMAX model with unit variance.
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ARMAXModel(double mu,
double[] AR,
double[] MA,
double[] psi,
double sigma)
Construct a univariate ARMAX model.
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Modifier and Type | Method and Description |
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double |
armaxMean(double[] arLags,
double[] maLags,
double[] exVar)
Compute the univariate ARMAX conditional mean.
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public ARMAXModel(double mu, double[] AR, double[] MA, double[] psi, 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 coefficientspsi
- the coefficients of the deterministic terms (excluding the intercept term)sigma
- the white noise variancepublic ARMAXModel(double mu, double[] AR, double[] MA, double[] psi)
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 coefficientspsi
- the coefficients of the deterministic terms (excluding the intercept term)public ARMAXModel(double[] AR, double[] MA, double[] psi, 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 coefficientspsi
- the coefficients of the deterministic terms (excluding the intercept term)sigma
- the white noise variancepublic ARMAXModel(double[] AR, double[] MA, double[] psi)
AR
- the AR coefficients (excluding the initial 1); null
if no AR coefficientsMA
- the MA coefficients (excluding the initial 1); null
if no MA coefficientspsi
- the coefficients of the deterministic terms (excluding the intercept term)public ARMAXModel(ARMAXModel that)
that
- a univariate ARMAX modelCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.