Package | Description |
---|---|
dev.nm.stat.cointegration | |
dev.nm.stat.dlm.multivariate | |
dev.nm.stat.timeseries.datastructure.multivariate.realtime.inttime |
Constructor and Description |
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CointegrationMLE(MultivariateSimpleTimeSeries ts,
boolean intercept)
Perform the Johansen MLE procedure on a multivariate time series,
using the EIGEN test, with the number of lags = 2.
|
CointegrationMLE(MultivariateSimpleTimeSeries ts,
boolean intercept,
int p)
Perform the Johansen MLE procedure on a multivariate time series, using
the EIGEN test.
|
CointegrationMLE(MultivariateSimpleTimeSeries ts,
boolean intercept,
int p,
Matrix D)
Perform the Johansen MLE procedure on a multivariate time series.
|
Modifier and Type | Method and Description |
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MultivariateSimpleTimeSeries |
MultivariateLinearKalmanFilter.getFittedStates()
Get the posterior expected states.
|
MultivariateSimpleTimeSeries |
MultivariateDLMSeries.getObservations()
Get the observations.
|
MultivariateSimpleTimeSeries |
MultivariateLinearKalmanFilter.getPredictedObservations()
Get the prior observation predictions.
|
MultivariateSimpleTimeSeries |
MultivariateLinearKalmanFilter.getPredictedStates()
Get the prior expected states.
|
MultivariateSimpleTimeSeries |
MultivariateDLMSeries.getStates()
Get the states.
|
Modifier and Type | Method and Description |
---|---|
MultivariateSimpleTimeSeries |
MultivariateSimpleTimeSeries.diff(int d)
Construct an instance of
MultivariateSimpleTimeSeries by taking the first difference
d times. |
MultivariateSimpleTimeSeries |
MultivariateSimpleTimeSeries.drop(int nItems)
Construct an instance of
MultivariateSimpleTimeSeries by dropping the leading
nItems entries. |
MultivariateSimpleTimeSeries |
MultivariateSimpleTimeSeries.lag(int nLags)
Construct an instance of
MultivariateSimpleTimeSeries by lagging the time series. |
MultivariateSimpleTimeSeries |
MultivariateSimpleTimeSeries.lag(int nLags,
int length)
Construct an instance of
MultivariateSimpleTimeSeries by lagging the time series. |
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