Class VARIMASim
- java.lang.Object
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- dev.nm.stat.timeseries.linear.multivariate.arima.VARIMASim
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- All Implemented Interfaces:
RandomVectorGenerator
,Seedable
public class VARIMASim extends Object implements RandomVectorGenerator
This class simulates a multivariate ARIMA process.
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Constructor Summary
Constructors Constructor Description 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.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description double[]
nextVector()
Gets the next random vector.void
seed(long... seeds)
Seed the random number/vector/scenario generator to produce repeatable experiments.
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Constructor Detail
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VARIMASim
public VARIMASim(VARIMAModel arima, Vector[] lags, Vector[] innovations, RandomVectorGenerator rvg)
Construct a multivariate ARIMA model.- Parameters:
arima
- a multivariate ARIMA modellags
- the lags of AR length;lags[0]
is \(x_{t-1}\)innovations
- the innovations of MA length;innovations[0]
is \(e_{t-1}\)rvg
- a random vector generator to generate innovations
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VARIMASim
public VARIMASim(VARIMAModel arima, RandomVectorGenerator rvg)
Construct a multivariate ARIMA model. The lags and innovations are initialized to 0.- Parameters:
arima
- a multivariate ARIMA modelrvg
- a random vector generator to generate innovations
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VARIMASim
public VARIMASim(VARIMAModel arima)
Construct a multivariate ARIMA model, using random standard Gaussian innovations.- Parameters:
arima
- an ARIMA model
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Method Detail
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seed
public void seed(long... seeds)
Description copied from interface:Seedable
Seed the random number/vector/scenario generator to produce repeatable experiments.
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nextVector
public double[] nextVector()
Description copied from interface:RandomVectorGenerator
Gets the next random vector.- Specified by:
nextVector
in interfaceRandomVectorGenerator
- Returns:
- the next random vector
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