Modifier and Type | Method and Description |
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VARMAModel |
VARIMAModel.getVARMA()
Get the ARMA part of this ARIMA model, essentially ignoring the differencing.
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Modifier and Type | Class and Description |
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class |
VARFit
This class construct a VAR model by estimating the coefficients using OLS regression.
|
class |
VARLinearRepresentation
The linear representation of an Autoregressive Moving Average (ARMA) model is a (truncated)
infinite sum of AR terms.
|
class |
VARModel
This class represents a VAR model.
|
class |
VMAModel
This class represents a multivariate MA model.
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Modifier and Type | Method and Description |
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VARMAModel |
VARMAModel.getDemeanedModel()
Get the demeaned version of the time series model.
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Constructor and Description |
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VARLinearRepresentation(VARMAModel model)
Construct the linear representation of an ARMA model up to the default number of lags
VARLinearRepresentation.DEFAULT_NUMBER_OF_LAGS . |
VARLinearRepresentation(VARMAModel model,
int nLags)
Construct the linear representation of an ARMA model.
|
VARMAAutoCorrelation(VARMAModel model,
int nLags)
Compute the auto-correlation function for a vector ARMA model.
|
VARMAAutoCovariance(VARMAModel model,
int nLags)
Compute the auto-covariance function for a vector ARMA model.
|
VARMAForecastOneStep(MultivariateIntTimeTimeSeries Xt,
VARMAModel model)
Construct an instance of
InnovationAlgorithm for a multivariate ARMA time series. |
VARMAModel(VARMAModel that)
Copy constructor.
|
VMAInvertibility(VARMAModel model)
Construct the inverse representation of an ARMA model up to the default number of lags
VMAInvertibility.DEFAULT_NLAGS . |
VMAInvertibility(VARMAModel model,
int nLags)
Construct the inverse representation of an ARMA model.
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Modifier and Type | Class and Description |
---|---|
class |
SimpleAR1Fit
This class does a quick AR(1) fitting to the time series, essentially
treating the returns as independent.
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