Class VARFit


  • public class VARFit
    extends VARModel
    This class construct a VAR model by estimating the coefficients using OLS regression.
    • Constructor Detail

      • VARFit

        public VARFit​(MultivariateIntTimeTimeSeries mts,
                      int p)
        Estimate a VAR model from a multivariate time series.
        Parameters:
        mts - a multivariate time series
        p - the number of AR terms