Class ElliottOnlineFilter
- java.lang.Object
-
- dev.nm.stat.dlm.univariate.DLM
-
- tech.nmfin.meanreversion.elliott2005.Elliott2005DLM
-
- tech.nmfin.meanreversion.elliott2005.ElliottOnlineFilter
-
public class ElliottOnlineFilter extends Elliott2005DLM
It is important to note that this algorithm does not guarantee that- A > 0
- 0 < B < 1
-
-
Nested Class Summary
Nested Classes Modifier and Type Class Description static class
ElliottOnlineFilter.NoModelFitted
-
Constructor Summary
Constructors Constructor Description ElliottOnlineFilter(double[] observations, double A0, double B0, double C0, double D0, int maxIterations)
ElliottOnlineFilter(double[] observations, Elliott2005DLM model0, int maxIterations)
-
Method Summary
All Methods Static Methods Concrete Methods Modifier and Type Method Description static Elliott2005DLM
iteration(Elliott2005DLM model0, double[] observations)
-
Methods inherited from class tech.nmfin.meanreversion.elliott2005.Elliott2005DLM
A, B, C, D, holdingTime, holdingTimeByThreshold, mu, simObs, simStates, threshold
-
Methods inherited from class dev.nm.stat.dlm.univariate.DLM
C0, getObsDimension, getObservationModel, getStateDimension, getStateModel, m0
-
-
-
-
Constructor Detail
-
ElliottOnlineFilter
public ElliottOnlineFilter(double[] observations, Elliott2005DLM model0, int maxIterations) throws ElliottOnlineFilter.NoModelFitted
-
ElliottOnlineFilter
public ElliottOnlineFilter(double[] observations, double A0, double B0, double C0, double D0, int maxIterations) throws ElliottOnlineFilter.NoModelFitted
-
-
Method Detail
-
iteration
public static Elliott2005DLM iteration(Elliott2005DLM model0, double[] observations)
-
-