Class ARMAXModel
- java.lang.Object
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- dev.nm.stat.timeseries.linear.univariate.arima.ARIMAXModel
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- dev.nm.stat.timeseries.linear.univariate.stationaryprocess.arma.ARMAXModel
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public class ARMAXModel extends ARIMAXModel
The ARMAX model (ARIMA model with eXogenous inputs) is a generalization of the ARMA model by incorporating exogenous variables. Xt is an ARMAX(p, q) process, for which \[ X_t = \mu + \sum_{i=1}^p \phi_i X_{t-i} + \sum_{i=1}^q \theta_j \epsilon_{t-j} + \psi' D_t + \epsilon_t, \] where Dt is an (m * 1) vector which contains all exogenous variables at time t (excluding the intercept term), and its coefficients are represented by an m-dimensional vector ψ.
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Constructor Summary
Constructors Constructor Description ARMAXModel(double[] AR, double[] MA, double[] psi)
Construct a univariate ARMAX model with unit variance and zero-intercept (mu).ARMAXModel(double[] AR, double[] MA, double[] psi, double sigma)
Construct a univariate ARMAX model with zero-intercept (mu).ARMAXModel(double mu, double[] AR, double[] MA, double[] psi)
Construct a univariate ARMAX model with unit variance.ARMAXModel(double mu, double[] AR, double[] MA, double[] psi, double sigma)
Construct a univariate ARMAX model.ARMAXModel(ARMAXModel that)
Copy constructor.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description double
armaxMean(double[] arLags, double[] maLags, double[] exVar)
Compute the univariate ARMAX conditional mean.
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Constructor Detail
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ARMAXModel
public ARMAXModel(double mu, double[] AR, double[] MA, double[] psi, double sigma)
Construct a univariate ARMAX model.- Parameters:
mu
- the intercept (constant) termAR
- the AR coefficients (excluding the initial 1);null
if no AR coefficientsMA
- the MA coefficients (excluding the initial 1);null
if no MA coefficientspsi
- the coefficients of the deterministic terms (excluding the intercept term)sigma
- the white noise variance
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ARMAXModel
public ARMAXModel(double mu, double[] AR, double[] MA, double[] psi)
Construct a univariate ARMAX model with unit variance.- Parameters:
mu
- the intercept (constant) termAR
- the AR coefficients (excluding the initial 1);null
if no AR coefficientsMA
- the MA coefficients (excluding the initial 1);null
if no MA coefficientspsi
- the coefficients of the deterministic terms (excluding the intercept term)
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ARMAXModel
public ARMAXModel(double[] AR, double[] MA, double[] psi, double sigma)
Construct a univariate ARMAX model with zero-intercept (mu).- Parameters:
AR
- the AR coefficients (excluding the initial 1);null
if no AR coefficientsMA
- the MA coefficients (excluding the initial 1);null
if no MA coefficientspsi
- the coefficients of the deterministic terms (excluding the intercept term)sigma
- the white noise variance
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ARMAXModel
public ARMAXModel(double[] AR, double[] MA, double[] psi)
Construct a univariate ARMAX model with unit variance and zero-intercept (mu).- Parameters:
AR
- the AR coefficients (excluding the initial 1);null
if no AR coefficientsMA
- the MA coefficients (excluding the initial 1);null
if no MA coefficientspsi
- the coefficients of the deterministic terms (excluding the intercept term)
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ARMAXModel
public ARMAXModel(ARMAXModel that)
Copy constructor.- Parameters:
that
- a univariate ARMAX model
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