Class VMAModel
- java.lang.Object
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- dev.nm.stat.timeseries.linear.multivariate.arima.VARIMAXModel
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- dev.nm.stat.timeseries.linear.multivariate.arima.VARIMAModel
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- dev.nm.stat.timeseries.linear.multivariate.stationaryprocess.arma.VARMAModel
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- dev.nm.stat.timeseries.linear.multivariate.stationaryprocess.arma.VMAModel
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public class VMAModel extends VARMAModel
This class represents a multivariate MA model.- See Also:
- Wikipedia: Moving average model
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Constructor Summary
Constructors Constructor Description VMAModel(Matrix[] theta)Construct a multivariate MA model with unit variance and zero-mean.VMAModel(Matrix[] theta, Matrix sigma)Construct a multivariate MA model with zero-mean.VMAModel(Vector mu, Matrix[] theta)Construct a multivariate MA model with unit variance.VMAModel(Vector mu, Matrix[] theta, Matrix sigma)Construct a multivariate MA model.VMAModel(VMAModel that)Copy constructor.VMAModel(MAModel model)Construct a multivariate MA model from a univariate MA model.
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Method Summary
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Methods inherited from class dev.nm.stat.timeseries.linear.multivariate.stationaryprocess.arma.VARMAModel
conditionalMean, getDemeanedModel, unconditionalMean
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Methods inherited from class dev.nm.stat.timeseries.linear.multivariate.arima.VARIMAModel
getVARMA
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Constructor Detail
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VMAModel
public VMAModel(Vector mu, Matrix[] theta, Matrix sigma)
Construct a multivariate MA model.- Parameters:
mu- the intercept (constant) vectortheta- the MA coefficients (excluding the initial 1);nullif no MA coefficientsigma- the white noise covariance matrix
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VMAModel
public VMAModel(Vector mu, Matrix[] theta)
Construct a multivariate MA model with unit variance.- Parameters:
mu- the intercept (constant) vectortheta- the MA coefficients (excluding the initial 1);nullif no MA coefficient
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VMAModel
public VMAModel(Matrix[] theta, Matrix sigma)
Construct a multivariate MA model with zero-mean.- Parameters:
theta- the MA coefficients (excluding the initial 1);nullif no MA coefficientsigma- the white noise covariance matrix
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VMAModel
public VMAModel(Matrix[] theta)
Construct a multivariate MA model with unit variance and zero-mean.- Parameters:
theta- the MA coefficients (excluding the initial 1);nullif no MA coefficient
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VMAModel
public VMAModel(MAModel model)
Construct a multivariate MA model from a univariate MA model.- Parameters:
model- a univariate MA model
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VMAModel
public VMAModel(VMAModel that)
Copy constructor.- Parameters:
that- a multivariate MA model
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