Class VMAInvertibility


  • public class VMAInvertibility
    extends Object
    The inverse representation of an Autoregressive Moving Average (ARMA) model is a (truncated) infinite sum of the Moving Averages.
    • Field Detail

      • DEFAULT_NLAGS

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

      • VMAInvertibility

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

        public VMAInvertibility​(VARMAModel model)
        Construct the inverse representation of an ARMA model up to the default number of lags DEFAULT_NLAGS.
        Parameters:
        model - an ARMA model
    • Method Detail

      • PI

        public Matrix[] PI()
        Get the coefficients of the linear representation of the time series.
        Returns:
        the coefficients of the linear representation
      • getMAModel

        public VMAModel getMAModel()
        Get the MA model of the inverse representation.
        Returns:
        the MA model of the inverse representation