Class MARMAModel

  • Direct Known Subclasses:
    MARModel, MMAModel

    public class MARMAModel
    extends Object
    Simulation of max autoregressive moving average processes, i.e., MARMA(p, q) processes. That is, \[ X_k = \max(\phi_1 X_{k-1}, \phi_2 X_{k-2}, ..., \phi_p X_{k-p}, \epsilon_k, \theta_1 \epsilon_{k-1}, \theta_2 \epsilon_{k-2}, ..., \theta_q \epsilon_{k-q}) \] where \(\phi_i\)'s are AR coefficients, \(\theta_i\)'s are MA coefficients, \(\epsilon_i\)'s are innovations generated by a GEV distribution.

    The R equivalent function is evd::marma.

    • Constructor Detail

      • MARMAModel

        public MARMAModel​(UnivariateEVD dist)
        Create an instance with a given GEV distribution for generating innovations.
        Parameters:
        dist - the GEV distribution
      • MARMAModel

        public MARMAModel​(double[] AR,
                          double[] MA)
        Create an instance with the AR and MA coefficients, using FrechetDistribution as the GEV distribution.
        Parameters:
        AR - the AR coefficients \(\phi_i\)
        MA - the MA coefficients \(\theta_i\)
      • MARMAModel

        public MARMAModel​(double[] AR,
                          double[] MA,
                          UnivariateEVD dist)
        Create an instance with the AR and MA coefficients, and a GEV distribution for generating innovations.
        Parameters:
        AR - the AR coefficients \(\phi_i\)
        MA - the MA coefficients \(\theta_i\)
        dist - the GEV distribution
    • Method Detail

      • getDistribution

        public UnivariateEVD getDistribution()
        Get the univariate extreme value distribution for generating innovations.
        Returns:
        the innovation distribution
      • p

        public int p()
        Get the number of AR terms.
        Returns:
        the number of AR terms
      • q

        public int q()
        Get the number of MA terms.
        Returns:
        the number of MA terms
      • AR

        public double[] AR()
        Get the AR coefficients.
        Returns:
        the AR coefficients
      • MA

        public double[] MA()
        Get the MA coefficients.
        Returns:
        the MA coefficients