Class VMAModel

    • Constructor Detail

      • VMAModel

        public VMAModel​(Vector mu,
                        Matrix[] theta,
                        Matrix sigma)
        Construct a multivariate MA model.
        Parameters:
        mu - the intercept (constant) vector
        theta - the MA coefficients (excluding the initial 1); null if no MA coefficient
        sigma - the white noise covariance matrix
      • VMAModel

        public VMAModel​(Vector mu,
                        Matrix[] theta)
        Construct a multivariate MA model with unit variance.
        Parameters:
        mu - the intercept (constant) vector
        theta - the MA coefficients (excluding the initial 1); null if no MA coefficient
      • VMAModel

        public VMAModel​(Matrix[] theta,
                        Matrix sigma)
        Construct a multivariate MA model with zero-mean.
        Parameters:
        theta - the MA coefficients (excluding the initial 1); null if no MA coefficient
        sigma - the white noise covariance matrix
      • VMAModel

        public VMAModel​(Matrix[] theta)
        Construct a multivariate MA model with unit variance and zero-mean.
        Parameters:
        theta - the MA coefficients (excluding the initial 1); null if no MA coefficient
      • VMAModel

        public VMAModel​(MAModel model)
        Construct a multivariate MA model from a univariate MA model.
        Parameters:
        model - a univariate MA model
      • VMAModel

        public VMAModel​(VMAModel that)
        Copy constructor.
        Parameters:
        that - a multivariate MA model