Class VARLinearRepresentation
- java.lang.Object
-
- dev.nm.stat.timeseries.linear.multivariate.arima.VARIMAXModel
-
- dev.nm.stat.timeseries.linear.multivariate.arima.VARIMAModel
-
- dev.nm.stat.timeseries.linear.multivariate.stationaryprocess.arma.VARMAModel
-
- dev.nm.stat.timeseries.linear.multivariate.stationaryprocess.arma.VARModel
-
- dev.nm.stat.timeseries.linear.multivariate.stationaryprocess.arma.VARLinearRepresentation
-
public class VARLinearRepresentation extends VARModel
The linear representation of an Autoregressive Moving Average (ARMA) model is a (truncated) infinite sum of AR terms.
-
-
Field Summary
Fields Modifier and Type Field Description static int
DEFAULT_NUMBER_OF_LAGS
the default number of lags
-
Constructor Summary
Constructors Constructor Description VARLinearRepresentation(VARMAModel model)
Construct the linear representation of an ARMA model up to the default number of lagsDEFAULT_NUMBER_OF_LAGS
.VARLinearRepresentation(VARMAModel model, int nLags)
Construct the linear representation of an ARMA model.
-
Method Summary
-
Methods inherited from class dev.nm.stat.timeseries.linear.multivariate.stationaryprocess.arma.VARMAModel
conditionalMean, getDemeanedModel, unconditionalMean
-
Methods inherited from class dev.nm.stat.timeseries.linear.multivariate.arima.VARIMAModel
getVARMA
-
-
-
-
Field Detail
-
DEFAULT_NUMBER_OF_LAGS
public static final int DEFAULT_NUMBER_OF_LAGS
the default number of lags- See Also:
- Constant Field Values
-
-
Constructor Detail
-
VARLinearRepresentation
public VARLinearRepresentation(VARMAModel model, int nLags)
Construct the linear representation of an ARMA model.- Parameters:
model
- an ARMA modelnLags
- the number of lags
-
VARLinearRepresentation
public VARLinearRepresentation(VARMAModel model)
Construct the linear representation of an ARMA model up to the default number of lagsDEFAULT_NUMBER_OF_LAGS
.- Parameters:
model
- an ARMA model
-
-