Class VARLinearRepresentation


  • public class VARLinearRepresentation
    extends VARModel
    The linear representation of an Autoregressive Moving Average (ARMA) model is a (truncated) infinite sum of AR terms.
    • Field Detail

      • DEFAULT_NUMBER_OF_LAGS

        public static final int DEFAULT_NUMBER_OF_LAGS
        the default number of lags
        See Also:
        Constant Field Values
    • Constructor Detail

      • VARLinearRepresentation

        public VARLinearRepresentation​(VARMAModel model,
                                       int nLags)
        Construct the linear representation of an ARMA model.
        Parameters:
        model - an ARMA model
        nLags - the number of lags
      • VARLinearRepresentation

        public VARLinearRepresentation​(VARMAModel model)
        Construct the linear representation of an ARMA model up to the default number of lags DEFAULT_NUMBER_OF_LAGS.
        Parameters:
        model - an ARMA model