public class VARMAAutoCovariance extends MultivariateAutoCovarianceFunction
ARMAacf and TacvfAR in package FitAR.Function.EvaluationException| Constructor and Description |
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VARMAAutoCovariance(VARMAModel model,
int nLags)
Compute the auto-covariance function for a vector ARMA model.
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| Modifier and Type | Method and Description |
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Matrix |
evaluate(double i)
Get the i-th auto-covariance matrix.
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Matrix |
evaluate(double i,
double j)
Evaluate f(x1, x2) = A.
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getdimensionOfDomain, dimensionOfRange, evaluatepublic VARMAAutoCovariance(VARMAModel model, int nLags)
model - an ARIMA modelnLags - the number of lagspublic Matrix evaluate(double i, double j)
R2toMatrixevaluate in class R2toMatrixi - x1j - x2f(x1, x2)public Matrix evaluate(double i)
i - the lag orderCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.