Uses of Class
dev.nm.stat.timeseries.linear.multivariate.stationaryprocess.arma.VARMAModel
-
-
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 VARMAModelVARIMAModel. 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 classVARFitThis class construct a VAR model by estimating the coefficients using OLS regression.classVARLinearRepresentationThe linear representation of an Autoregressive Moving Average (ARMA) model is a (truncated) infinite sum of AR terms.classVARModelThis class represents a VAR model.classVMAModelThis class represents a multivariate MA model.Methods in dev.nm.stat.timeseries.linear.multivariate.stationaryprocess.arma that return VARMAModel Modifier and Type Method Description VARMAModelVARMAModel. 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 ofInnovationAlgorithmfor 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 classSimpleAR1FitThis class does a quick AR(1) fitting to the time series, essentially treating the returns as independent.
-