Interface ResamplerModel
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- All Known Implementing Classes:
SimpleAR1Fit,SimpleGARCHFit
public interface ResamplerModel
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Method Summary
All Methods Static Methods Instance Methods Abstract Methods Modifier and Type Method Description MatrixfittedValues()static MatrixfittedValues(OLSResiduals[] residuals)Matrixsigma2()Gets the conditional variances of residuals over time.MatrixstandarizedInnovations()Gets the standarized innovations (normalized by the conditional standard deviation at the time) of the time series.
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Method Detail
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fittedValues
Matrix fittedValues()
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standarizedInnovations
Matrix standarizedInnovations()
Gets the standarized innovations (normalized by the conditional standard deviation at the time) of the time series. Note (haksunli): we should not use instead the non-standarized innovations (have non-unit variances) because when they are scaled by the time dependent standard deviations/variances. We cannot simply shuffle them to get a new time series of innovations.- Returns:
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sigma2
Matrix sigma2()
Gets the conditional variances of residuals over time.- Returns:
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fittedValues
static Matrix fittedValues(OLSResiduals[] residuals)
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