public class VMAInvertibility extends Object
| Modifier and Type | Field and Description |
|---|---|
static int |
DEFAULT_NLAGS
the default number of lags
|
| Constructor and Description |
|---|
VMAInvertibility(VARMAModel model)
Construct the inverse representation of an ARMA model up to the default number of lags
DEFAULT_NLAGS. |
VMAInvertibility(VARMAModel model,
int nLags)
Construct the inverse representation of an ARMA model.
|
| Modifier and Type | Method and Description |
|---|---|
VMAModel |
getMAModel()
Get the MA model of the inverse representation.
|
Matrix[] |
PI()
Get the coefficients of the linear representation of the time series.
|
public static final int DEFAULT_NLAGS
public VMAInvertibility(VARMAModel model, int nLags)
model - an ARMA modelnLags - the number of lagspublic VMAInvertibility(VARMAModel model)
DEFAULT_NLAGS.model - an ARMA modelpublic Matrix[] PI()
public VMAModel getMAModel()
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