Uses of Class
dev.nm.stat.timeseries.linear.multivariate.stationaryprocess.arma.VARMAModel
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Uses of VARMAModel in dev.nm.stat.timeseries.linear.multivariate.arima
Methods in dev.nm.stat.timeseries.linear.multivariate.arima that return VARMAModel Modifier and Type Method Description VARMAModel
VARIMAModel. getVARMA()
Get the ARMA part of this ARIMA model, essentially ignoring the differencing. -
Uses of VARMAModel in dev.nm.stat.timeseries.linear.multivariate.stationaryprocess.arma
Subclasses of VARMAModel 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.class
VARModel
This class represents a VAR model.class
VMAModel
This class represents a multivariate MA model.Methods in dev.nm.stat.timeseries.linear.multivariate.stationaryprocess.arma that return VARMAModel Modifier and Type Method Description VARMAModel
VARMAModel. getDemeanedModel()
Get the demeaned version of the time series model.Constructors in dev.nm.stat.timeseries.linear.multivariate.stationaryprocess.arma with parameters of type VARMAModel Constructor Description VARLinearRepresentation(VARMAModel model)
Construct the linear representation of an ARMA model up to the default number of lagsVARLinearRepresentation.DEFAULT_NUMBER_OF_LAGS
.VARLinearRepresentation(VARMAModel model, int nLags)
Construct the linear representation of an ARMA model.VARMAAutoCorrelation(VARMAModel model, int nLags)
Compute the auto-correlation function for a vector ARMA model.VARMAAutoCovariance(VARMAModel model, int nLags)
Compute the auto-covariance function for a vector ARMA model.VARMAForecastOneStep(MultivariateIntTimeTimeSeries Xt, VARMAModel model)
Construct an instance ofInnovationAlgorithm
for a multivariate ARMA time series.VARMAModel(VARMAModel that)
Copy constructor.VMAInvertibility(VARMAModel model)
Construct the inverse representation of an ARMA model up to the default number of lagsVMAInvertibility.DEFAULT_NLAGS
.VMAInvertibility(VARMAModel model, int nLags)
Construct the inverse representation of an ARMA model. -
Uses of VARMAModel in tech.nmfin.portfoliooptimization.lai2010.fit
Subclasses of VARMAModel 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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