Interface ResamplerModel

All Known Implementing Classes:
SimpleAR1Fit, SimpleGARCHFit

public interface ResamplerModel
  • Method Details

    • fittedValues

      Matrix fittedValues()
    • standarizedInnovations

      Matrix standarizedInnovations()
      Gets the standarized innovations (normalized by the conditional standard deviation at the time) of the time series. Note (haksunli): we should not use instead the non-standarized innovations (have non-unit variances) because when they are scaled by the time dependent standard deviations/variances. We cannot simply shuffle them to get a new time series of innovations.
      Returns:
    • sigma2

      Matrix sigma2()
      Gets the conditional variances of residuals over time.
      Returns:
    • fittedValues

      static Matrix fittedValues(OLSResiduals[] residuals)