Uses of Class
dev.nm.stat.timeseries.linear.multivariate.arima.VARIMAXModel
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Uses of VARIMAXModel in dev.nm.stat.timeseries.linear.multivariate.arima
Subclasses of VARIMAXModel in dev.nm.stat.timeseries.linear.multivariate.arima Modifier and Type Class Description class
VARIMAModel
An ARIMA(p, d, q) process, Yt, is such that \[ X_t = (1 - L)^d Y_t \] where L is the lag operator, d the order of difference, Xt an ARMA(p, q) process, for which \[ X_t = \mu + \Sigma \phi_i X_{t-i} + \Sigma \theta_j \epsilon_{t-j} + \epsilon_t, \] Xt, μ and εt are n-dimensional vectors.Constructors in dev.nm.stat.timeseries.linear.multivariate.arima with parameters of type VARIMAXModel Constructor Description VARIMAXModel(VARIMAXModel that)
Copy constructor. -
Uses of VARIMAXModel in dev.nm.stat.timeseries.linear.multivariate.stationaryprocess.arma
Subclasses of VARIMAXModel 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
VARMAModel
A multivariate ARMA model, Xt, takes this form.class
VARMAXModel
The VARMAX model (ARMA model with eXogenous inputs) is a generalization of the ARMA model by incorporating exogenous variables.class
VARModel
This class represents a VAR model.class
VARXModel
A VARX (Vector AutoRegressive model with eXogeneous inputs) model, Xt, takes this form.class
VMAModel
This class represents a multivariate MA model. -
Uses of VARIMAXModel in tech.nmfin.portfoliooptimization.lai2010.fit
Subclasses of VARIMAXModel 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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