public class VECM extends Object
| Constructor and Description |
|---|
VECM(VECM that)
Copy constructor.
|
VECM(Vector mu,
Matrix pi,
Matrix[] gamma,
Matrix psi,
Matrix sigma)
Construct a VECM(p) model.
|
| Modifier and Type | Method and Description |
|---|---|
int |
dimension()
Get the dimension of the multivariate time series.
|
ImmutableMatrix[] |
gamma()
Get the AR coefficients of the lagged differences;
null if p = 1 |
ImmutableMatrix |
gamma(int i)
Get the AR coefficient of the i-th lagged differences.
|
ImmutableVector |
mu()
Get the intercept vector.
|
int |
p()
Get the order of the VECM model.
|
ImmutableMatrix |
pi()
Get the impact matrix.
|
ImmutableMatrix |
psi()
Get the coefficients of the deterministic terms.
|
ImmutableMatrix |
sigma()
Get the white noise covariance matrix.
|
public VECM(Vector mu, Matrix pi, Matrix[] gamma, Matrix psi, Matrix sigma)
mu - the intercept (constant) vectorpi - the impact matrixgamma - the AR coefficients of the lagged differences; null if p = 1psi - the coefficients of the deterministic terms (excluding the intercept term)sigma - the white noise covariance matrixpublic VECM(VECM that)
that - a VECM modelpublic ImmutableVector mu()
public ImmutableMatrix pi()
public ImmutableMatrix gamma(int i)
i - an index, counting from 1public ImmutableMatrix[] gamma()
null if p = 1null if p = 1public ImmutableMatrix psi()
nullpublic ImmutableMatrix sigma()
public int dimension()
public int p()
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