Uses of Class
dev.nm.stat.timeseries.linear.multivariate.arima.VARIMAModel
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Uses of VARIMAModel in dev.nm.stat.timeseries.linear.multivariate.arima
Constructors in dev.nm.stat.timeseries.linear.multivariate.arima with parameters of type VARIMAModel Constructor Description VARIMAModel(VARIMAModel that)
Copy constructor.VARIMASim(VARIMAModel arima)
Construct a multivariate ARIMA model, using random standard Gaussian innovations.VARIMASim(VARIMAModel arima, Vector[] lags, Vector[] innovations, RandomVectorGenerator rvg)
Construct a multivariate ARIMA model.VARIMASim(VARIMAModel arima, RandomVectorGenerator rvg)
Construct a multivariate ARIMA model. -
Uses of VARIMAModel in dev.nm.stat.timeseries.linear.multivariate.stationaryprocess.arma
Subclasses of VARIMAModel in dev.nm.stat.timeseries.linear.multivariate.stationaryprocess.arma Modifier and Type Class Description 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
VARMAModel
A multivariate ARMA model, Xt, takes this form.class
VARModel
This class represents a VAR model.class
VMAModel
This class represents a multivariate MA model. -
Uses of VARIMAModel in tech.nmfin.portfoliooptimization.lai2010.fit
Subclasses of VARIMAModel in tech.nmfin.portfoliooptimization.lai2010.fit Modifier and Type Class 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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