Package dev.nm.stat.timeseries.linear.multivariate.stationaryprocess.arma

Class VARFit

java.lang.Object

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

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

dev.nm.stat.timeseries.linear.multivariate.stationaryprocess.arma.VARMAModel

dev.nm.stat.timeseries.linear.multivariate.stationaryprocess.arma.VARModel

dev.nm.stat.timeseries.linear.multivariate.stationaryprocess.arma.VARFit

public class VARFit
extends VARModel

This class construct a VAR model by estimating the coefficients using OLS regression.

Constructor Summary

Constructors

Constructor	Description
VARFit(MultivariateIntTimeTimeSeries mts, int p)	Estimate a VAR model from a multivariate time series.

Method Summary

Methods inherited from class dev.nm.stat.timeseries.linear.multivariate.stationaryprocess.arma.VARMAModel

conditionalMean, getDemeanedModel, unconditionalMean

Methods inherited from class dev.nm.stat.timeseries.linear.multivariate.arima.VARIMAModel

getVARMA

Methods inherited from class dev.nm.stat.timeseries.linear.multivariate.arima.VARIMAXModel

AR, d, dimension, getVARMAX, MA, maxPQ, mu, p, phi, psi, q, sigma, theta

Methods inherited from class java.lang.Object

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

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