Uses of Class
dev.nm.stat.timeseries.linear.univariate.stationaryprocess.arma.ARMAModel
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Uses of ARMAModel in dev.nm.stat.timeseries.linear.multivariate.stationaryprocess.arma
Constructors in dev.nm.stat.timeseries.linear.multivariate.stationaryprocess.arma with parameters of type ARMAModel Constructor Description VARMAModel(ARMAModel model)
Construct a multivariate model from a univariate ARMA model. -
Uses of ARMAModel in dev.nm.stat.timeseries.linear.univariate.arima
Methods in dev.nm.stat.timeseries.linear.univariate.arima that return ARMAModel Modifier and Type Method Description ARMAModel
ARIMAModel. getARMA()
Get the ARMA part of this ARIMA model, essentially ignoring the differencing. -
Uses of ARMAModel in dev.nm.stat.timeseries.linear.univariate.stationaryprocess.arma
Subclasses of ARMAModel in dev.nm.stat.timeseries.linear.univariate.stationaryprocess.arma Modifier and Type Class Description class
ARModel
This class represents an AR model.class
LinearRepresentation
The linear representation of an Autoregressive Moving Average (ARMA) model is a (truncated) infinite sum of AR terms.class
MAModel
This class represents a univariate MA model.Methods in dev.nm.stat.timeseries.linear.univariate.stationaryprocess.arma that return ARMAModel Modifier and Type Method Description ARMAModel
ConditionalSumOfSquares. getARMAModel()
Get the fitted ARMA model.ARMAModel
ARMAModel. getDemeanedModel()
Get the demeaned version of the time series model.Methods in dev.nm.stat.timeseries.linear.univariate.stationaryprocess.arma with parameters of type ARMAModel Modifier and Type Method Description static AutoCovarianceFunction
ARMAForecastOneStep. K(ARMAModel arma)
Constructors in dev.nm.stat.timeseries.linear.univariate.stationaryprocess.arma with parameters of type ARMAModel Constructor Description ARMAForecast(IntTimeTimeSeries xt, ARMAModel arma)
Constructs a forecaster for a time series assuming ARMA model.ARMAForecastMultiStep(double[] xt, ARMAModel arma, int h)
Makes the h-step ahead prediction for an ARMA model.ARMAForecastMultiStep(IntTimeTimeSeries xt, ARMAModel arma)
Makes the one-step ahead prediction for an ARMA model.ARMAForecastMultiStep(IntTimeTimeSeries xt, ARMAModel arma, int h)
Makes the h-step ahead prediction for an ARMA model.ARMAForecastMultiStep(IntTimeTimeSeries xt, ARMAModel arma, int h, InnovationsAlgorithm inn)
Makes the h-step ahead prediction for an ARMA model.ARMAForecastMultiStep(IntTimeTimeSeries xt, ARMAModel arma, int h, InnovationsAlgorithm inn, ARMAForecastOneStep forecast1)
Makes the h-step ahead prediction for an ARMA model.ARMAForecastOneStep(double[] xt, ARMAModel arma)
Makes the one-step ahead prediction for an ARMA model.ARMAForecastOneStep(IntTimeTimeSeries xt, ARMAModel arma)
Makes the one-step ahead prediction for an ARMA model.ARMAForecastOneStep(IntTimeTimeSeries xt, ARMAModel arma, InnovationsAlgorithm inn)
Makes the one-step ahead prediction for an ARMA model.ARMAModel(ARMAModel that)
Copy constructor.AutoCorrelation(ARMAModel model, int nLags)
Compute the auto-correlation function for an ARMA model.AutoCovariance(ARMAModel model)
Computes the auto-covariance function for an ARMA model.LinearRepresentation(ARMAModel arma)
Construct the linear representation of an ARMA model up to the default number of lagsLinearRepresentation.DEFAULT_NUMBER_OF_LAGS
.LinearRepresentation(ARMAModel arma, int nLags)
Construct the linear representation of an ARMA model. -
Uses of ARMAModel in dev.nm.stat.timeseries.linear.univariate.stationaryprocess.armagarch
Methods in dev.nm.stat.timeseries.linear.univariate.stationaryprocess.armagarch that return ARMAModel Modifier and Type Method Description ARMAModel
ARMAGARCHModel. getARMAModel()
Get the ARMA part of this model.Constructors in dev.nm.stat.timeseries.linear.univariate.stationaryprocess.armagarch with parameters of type ARMAModel Constructor Description ARMAGARCHModel(ARMAModel arma, GARCHModel garch)
Construct a univariate ARMA-GARCH model.
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