| VARFit |
This class construct a VAR model by estimating the coefficients using OLS regression.
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| VARLinearRepresentation |
The linear representation of an Autoregressive Moving Average (ARMA) model is a (truncated)
infinite sum of AR terms.
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| VARMAAutoCorrelation |
Compute the Auto-Correlation Function (ACF) for a vector AutoRegressive Moving Average (ARMA) model, assuming that
EXt = 0.
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| VARMAAutoCovariance |
Compute the Auto-CoVariance Function (ACVF) for a vector AutoRegressive Moving Average (ARMA) model, assuming that
EXt = 0.
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| VARMAForecastOneStep |
This is an implementation, adapted for an ARMA process, of the innovation algorithm,
which is an efficient way of obtaining a one step least square linear predictor.
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| VARMAModel |
A multivariate ARMA model, Xt, takes this form.
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| VARMAXModel |
The VARMAX model (ARMA model with eXogenous inputs) is a generalization of the ARMA model by
incorporating exogenous variables.
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| VARModel |
This class represents a VAR model.
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| VARXModel |
A VARX (Vector AutoRegressive model with eXogeneous inputs) model, Xt, takes
this form.
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| VECM |
A Vector Error Correction Model (VECM(p)) has one of the following specifications:
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| VECMLongrun |
The long-run Vector Error Correction Model (VECM(p)) takes this form.
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| VECMTransitory |
A transitory Vector Error Correction Model (VECM(p)) takes this form.
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| VMAInvertibility |
The inverse representation of an Autoregressive Moving Average (ARMA) model is a (truncated) infinite sum of the Moving Averages.
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| VMAModel |
This class represents a multivariate MA model.
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