public class VARIMASim extends Object implements RandomVectorGenerator
Constructor and Description |
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VARIMASim(VARIMAModel arima)
Construct a multivariate ARIMA model, using random standard Gaussian innovations.
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VARIMASim(VARIMAModel arima,
RandomVectorGenerator rvg)
Construct a multivariate ARIMA model.
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VARIMASim(VARIMAModel arima,
Vector[] lags,
Vector[] innovations,
RandomVectorGenerator rvg)
Construct a multivariate ARIMA model.
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Modifier and Type | Method and Description |
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double[] |
nextVector()
Get the next random vector.
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void |
seed(long... seeds)
Seed the random number/vector/scenario generator to produce repeatable experiments.
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public VARIMASim(VARIMAModel arima, Vector[] lags, Vector[] innovations, RandomVectorGenerator rvg)
arima
- a multivariate ARIMA modellags
- the lags of AR length; lags[0]
is \(x_{t-1}\)innovations
- the innovations of MA length; innovations[0]
is \(e_{t-1}\)rvg
- a random vector generator to generate innovationspublic VARIMASim(VARIMAModel arima, RandomVectorGenerator rvg)
arima
- a multivariate ARIMA modelrvg
- a random vector generator to generate innovationspublic VARIMASim(VARIMAModel arima)
arima
- an ARIMA modelpublic void seed(long... seeds)
Seedable
public double[] nextVector()
RandomVectorGenerator
nextVector
in interface RandomVectorGenerator
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