Uses of Class
dev.nm.stat.timeseries.linear.multivariate.stationaryprocess.arma.VARModel
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Packages that use VARModel Package Description dev.nm.stat.timeseries.linear.multivariate.stationaryprocess.arma tech.nmfin.portfoliooptimization.lai2010.fit -
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Uses of VARModel in dev.nm.stat.timeseries.linear.multivariate.stationaryprocess.arma
Subclasses of VARModel 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.Constructors in dev.nm.stat.timeseries.linear.multivariate.stationaryprocess.arma with parameters of type VARModel Constructor Description VARModel(VARModel that)
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Uses of VARModel in tech.nmfin.portfoliooptimization.lai2010.fit
Subclasses of VARModel 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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