Uses of Class
dev.nm.stat.timeseries.linear.multivariate.arima.VARIMAModel
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Uses of VARIMAModel in dev.nm.stat.timeseries.linear.multivariate.arima
Constructors in dev.nm.stat.timeseries.linear.multivariate.arima with parameters of type VARIMAModel Constructor Description VARIMAModel(VARIMAModel that)Copy constructor.VARIMASim(VARIMAModel arima)Construct a multivariate ARIMA model, using random standard Gaussian innovations.VARIMASim(VARIMAModel arima, Vector[] lags, Vector[] innovations, RandomVectorGenerator rvg)Construct a multivariate ARIMA model.VARIMASim(VARIMAModel arima, RandomVectorGenerator rvg)Construct a multivariate ARIMA model. -
Uses of VARIMAModel in dev.nm.stat.timeseries.linear.multivariate.stationaryprocess.arma
Subclasses of VARIMAModel 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.classVARMAModelA multivariate ARMA model, Xt, takes this form.classVARModelThis class represents a VAR model.classVMAModelThis class represents a multivariate MA model. -
Uses of VARIMAModel in tech.nmfin.portfoliooptimization.lai2010.fit
Subclasses of VARIMAModel 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.
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