Package dev.nm.stat.timeseries.linear.multivariate.arima

Class VARIMASim

java.lang.Object

dev.nm.stat.timeseries.linear.multivariate.arima.VARIMASim

All Implemented Interfaces:

RandomVectorGenerator, Seedable

public class VARIMASim
extends Object
implements RandomVectorGenerator

This class simulates a multivariate ARIMA process.

Constructor Summary

Constructors

Constructor	Description
VARIMASim(VARIMAModel arima)	Construct a multivariate ARIMA model, using random standard Gaussian innovations.
VARIMASim(VARIMAModel arima, Vector[] lags, Vector[] innovations, RandomVectorGenerator rvg)	Construct a multivariate ARIMA model.
VARIMASim(VARIMAModel arima, RandomVectorGenerator rvg)	Construct a multivariate ARIMA model.

Method Summary

Modifier and Type	Method	Description
double[]	nextVector()	Gets the next random vector.
void	seed(long... seeds)	Seed the random number/vector/scenario generator to produce repeatable experiments.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

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 Details

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

nextVector

public double[] nextVector()

Description copied from interface: RandomVectorGenerator

Gets the next random vector.

Specified by:

nextVector in interface RandomVectorGenerator

Returns:

the next random vector