Interface ARMAFit
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- All Known Implementing Classes:
ConditionalSumOfSquares
public interface ARMAFitThis interface represents a fitting method for estimating φ, θ, μ, σ2 in an ARMA model.- See Also:
ConditionalSumOfSquares
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Method Summary
All Methods Instance Methods Abstract Methods Modifier and Type Method Description doubleAIC()Compute the AIC of fitted model.doubleAICC()Compute the AICC of fitted model.Matrixcovariance()Get the asymptotic covariance matrix of the estimators.ARIMAModelgetModel()Get the fitted ARMA model.Vectorstderr()Get the asymptotic standard errors of the estimators.doublevar()Get the variance of the white noise.
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Method Detail
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getModel
ARIMAModel getModel()
Get the fitted ARMA model.- Returns:
- the fitted ARMA model
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var
double var()
Get the variance of the white noise.- Returns:
- σ2
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stderr
Vector stderr()
Get the asymptotic standard errors of the estimators.- Returns:
- the asymptotic standard errors of the estimators
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covariance
Matrix covariance()
Get the asymptotic covariance matrix of the estimators.- Returns:
- the asymptotic covariance matrix of the estimators
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AIC
double AIC()
Compute the AIC of fitted model.- Returns:
- the AIC
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AICC
double AICC()
Compute the AICC of fitted model.- Returns:
- the AICC
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