Package dev.nm.stat.evt.timeseries
Class MARMAModel
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- dev.nm.stat.evt.timeseries.MARMAModel
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public class MARMAModel extends Object
Simulation of max autoregressive moving average processes, i.e., MARMA(p, q) processes. That is, \[ X_k = \max(\phi_1 X_{k-1}, \phi_2 X_{k-2}, ..., \phi_p X_{k-p}, \epsilon_k, \theta_1 \epsilon_{k-1}, \theta_2 \epsilon_{k-2}, ..., \theta_q \epsilon_{k-q}) \] where \(\phi_i\)'s are AR coefficients, \(\theta_i\)'s are MA coefficients, \(\epsilon_i\)'s are innovations generated by a GEV distribution. The R equivalent function isevd::marma
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Constructor Summary
Constructors Constructor Description MARMAModel(double[] AR, double[] MA)
Create an instance with the AR and MA coefficients, usingFrechetDistribution
as the GEV distribution.MARMAModel(double[] AR, double[] MA, UnivariateEVD dist)
Create an instance with the AR and MA coefficients, and a GEV distribution for generating innovations.MARMAModel(UnivariateEVD dist)
Create an instance with a given GEV distribution for generating innovations.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description double[]
AR()
Get the AR coefficients.UnivariateEVD
getDistribution()
Get the univariate extreme value distribution for generating innovations.double[]
MA()
Get the MA coefficients.int
p()
Get the number of AR terms.int
q()
Get the number of MA terms.
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Constructor Detail
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MARMAModel
public MARMAModel(UnivariateEVD dist)
Create an instance with a given GEV distribution for generating innovations.- Parameters:
dist
- the GEV distribution
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MARMAModel
public MARMAModel(double[] AR, double[] MA)
Create an instance with the AR and MA coefficients, usingFrechetDistribution
as the GEV distribution.- Parameters:
AR
- the AR coefficients \(\phi_i\)MA
- the MA coefficients \(\theta_i\)
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MARMAModel
public MARMAModel(double[] AR, double[] MA, UnivariateEVD dist)
Create an instance with the AR and MA coefficients, and a GEV distribution for generating innovations.- Parameters:
AR
- the AR coefficients \(\phi_i\)MA
- the MA coefficients \(\theta_i\)dist
- the GEV distribution
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Method Detail
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getDistribution
public UnivariateEVD getDistribution()
Get the univariate extreme value distribution for generating innovations.- Returns:
- the innovation distribution
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p
public int p()
Get the number of AR terms.- Returns:
- the number of AR terms
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q
public int q()
Get the number of MA terms.- Returns:
- the number of MA terms
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AR
public double[] AR()
Get the AR coefficients.- Returns:
- the AR coefficients
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MA
public double[] MA()
Get the MA coefficients.- Returns:
- the MA coefficients
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