Class VARIMAModel
- java.lang.Object
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- dev.nm.stat.timeseries.linear.multivariate.arima.VARIMAXModel
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- dev.nm.stat.timeseries.linear.multivariate.arima.VARIMAModel
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- Direct Known Subclasses:
VARMAModel
public class VARIMAModel extends VARIMAXModel
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. The (n * n) matrices \({\phi_i}\) and \({\theta_j}\) are the AR and MA coefficients respectively.
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Constructor Summary
Constructors Constructor Description VARIMAModel(Matrix[] phi, int d, Matrix[] theta)Construct a multivariate ARIMA model with unit variance and zero-intercept (mu).VARIMAModel(Matrix[] phi, int d, Matrix[] theta, Matrix sigma)Construct a multivariate ARIMA model with zero-intercept (mu).VARIMAModel(Vector mu, Matrix[] phi, int d, Matrix[] theta)Construct a multivariate ARIMA model with unit variance.VARIMAModel(Vector mu, Matrix[] phi, int d, Matrix[] theta, Matrix sigma)Construct a multivariate ARIMA model.VARIMAModel(VARIMAModel that)Copy constructor.VARIMAModel(ARIMAModel model)Construct a multivariate model from a univariate ARIMA model.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description VARMAModelgetVARMA()Get the ARMA part of this ARIMA model, essentially ignoring the differencing.
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Constructor Detail
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VARIMAModel
public VARIMAModel(Vector mu, Matrix[] phi, int d, Matrix[] theta, Matrix sigma)
Construct a multivariate ARIMA model.- Parameters:
mu- the intercept (constant) vectorphi- the AR coefficients (excluding the initial 1);nullif no AR coefficientd- the order of integrationtheta- the MA coefficients (excluding the initial 1);nullif no MA coefficientsigma- the white noise covariance matrix
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VARIMAModel
public VARIMAModel(Vector mu, Matrix[] phi, int d, Matrix[] theta)
Construct a multivariate ARIMA model with unit variance.- Parameters:
mu- the intercept (constant) vectorphi- the AR coefficients (excluding the initial 1);nullif no AR coefficientd- the order of integrationtheta- the MA coefficients (excluding the initial 1);nullif no MA coefficient
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VARIMAModel
public VARIMAModel(Matrix[] phi, int d, Matrix[] theta, Matrix sigma)
Construct a multivariate ARIMA model with zero-intercept (mu).- Parameters:
phi- the AR coefficients (excluding the initial 1);nullif no AR coefficientd- the order of integrationtheta- the MA coefficients (excluding the initial 1);nullif no MA coefficientsigma- the white noise covariance matrix
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VARIMAModel
public VARIMAModel(Matrix[] phi, int d, Matrix[] theta)
Construct a multivariate ARIMA model with unit variance and zero-intercept (mu).- Parameters:
phi- the AR coefficients (excluding the initial 1);nullif no AR coefficientd- the order of integrationtheta- the MA coefficients (excluding the initial 1);nullif no MA coefficient
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VARIMAModel
public VARIMAModel(ARIMAModel model)
Construct a multivariate model from a univariate ARIMA model.- Parameters:
model- a univariate ARIMA model
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VARIMAModel
public VARIMAModel(VARIMAModel that)
Copy constructor.- Parameters:
that- a multivariate ARIMA model
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Method Detail
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getVARMA
public VARMAModel getVARMA()
Get the ARMA part of this ARIMA model, essentially ignoring the differencing.- Returns:
- the ARMA part
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