Class VARIMASim

    • Constructor Detail

      • VARIMASim

        public VARIMASim​(VARIMAModel arima,
                         Vector[] lags,
                         Vector[] innovations,
                         RandomVectorGenerator rvg)
        Construct a multivariate ARIMA model.
        Parameters:
        arima - a multivariate ARIMA model
        lags - 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
      • 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 model
        rvg - a random vector generator to generate innovations
      • VARIMASim

        public VARIMASim​(VARIMAModel arima)
        Construct a multivariate ARIMA model, using random standard Gaussian innovations.
        Parameters:
        arima - an ARIMA model
    • Method Detail

      • seed

        public void seed​(long... seeds)
        Description copied from interface: Seedable
        Seed the random number/vector/scenario generator to produce repeatable experiments.
        Specified by:
        seed in interface Seedable
        Parameters:
        seeds - the seeds