Class VARModel

    • Constructor Detail

      • VARModel

        public VARModel​(Vector mu,
                        Matrix[] phi,
                        Matrix sigma)
        Construct a VAR model.
        Parameters:
        mu - the intercept (constant) vector
        phi - the AR coefficients (excluding the initial 1)
        sigma - the white noise covariance matrix
      • VARModel

        public VARModel​(Vector mu,
                        Matrix[] phi)
        Construct a VAR model with unit variance.
        Parameters:
        mu - the intercept (constant) vector
        phi - the AR coefficients (excluding the initial 1)
      • VARModel

        public VARModel​(Matrix[] phi,
                        Matrix sigma)
        Construct a VAR model with zero-intercept (mu).
        Parameters:
        phi - the AR coefficients (excluding the initial 1)
        sigma - the white noise covariance matrix
      • VARModel

        public VARModel​(Matrix[] phi)
        Construct a VAR model with unit variance and zero-intercept (mu).
        Parameters:
        phi - the AR coefficients (excluding the initial 1)
      • VARModel

        public VARModel​(ARModel model)
        Construct a multivariate model from a univariate AR model.
        Parameters:
        model - a univariate AR model
      • VARModel

        public VARModel​(VARModel that)
        Copy constructor.
        Parameters:
        that - a VAR model