Uses of Class
dev.nm.stat.dlm.univariate.DLM
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Packages that use DLM Package Description dev.nm.stat.dlm.univariate tech.nmfin.meanreversion.elliott2005 -
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Uses of DLM in dev.nm.stat.dlm.univariate
Constructors in dev.nm.stat.dlm.univariate with parameters of type DLM Constructor Description DLM(DLM that)
Copy constructor.DLMSeries(int T, DLM model)
Simulate a univariate controlled dynamic linear model process.DLMSeries(int T, DLM model, double[] u)
Simulate a univariate controlled dynamic linear model process.DLMSeries(int T, DLM model, double[] u, RandomStandardNormalGenerator rnorm)
Simulate a univariate controlled dynamic linear model process.DLMSim(DLM model, RandomStandardNormalGenerator rnorm)
Simulate a univariate controlled dynamic linear model process.LinearKalmanFilter(DLM model)
Construct a Kalman filter from a univariate controlled dynamic linear model. -
Uses of DLM in tech.nmfin.meanreversion.elliott2005
Subclasses of DLM in tech.nmfin.meanreversion.elliott2005 Modifier and Type Class Description class
Elliott2005DLM
This class implements the Kalman filter model as in Elliott's paper.class
ElliottOnlineFilter
It is important to note that this algorithm does not guarantee that A > 0 0 < B < 1 Therefore, we need to check the outputs.
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