haksunli
@haksunli
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Joined: Jan 21, 2020
Last seen: Aug 20, 2023
Topics: 13 / Replies: 8
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RE: Using the library in an open source project

Peter, Thank you for reaching out. The open-source version of SuanShu is rather old. It was our first attempt at making a comprehensive library. I...

1 year ago
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RE: How to be sure that two series are cointegrated with CointegrationMLE and JohansenTest

Just out of curiosity, why do you need a Java specific tool over Python please?

2 years ago
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RE: How to be sure that two series are cointegrated with CointegrationMLE and JohansenTest

I would use TrendType.CONSTANT for a pair of financial time series.

2 years ago
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RE: How to be sure that two series are cointegrated with CointegrationMLE and JohansenTest

I see. So, you are trying to find pairs of integrated time series. One simple solution is to use multi-threading, multi-processes, and multi-machine...

2 years ago
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RE: How to be sure that two series are cointegrated with CointegrationMLE and JohansenTest

Can you tell me more about the domain of application that you are working on? Are they financial time series?If there are many time series, then coint...

2 years ago
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RE: How to be sure that two series are cointegrated with CointegrationMLE and JohansenTest

Maximum Eigenvalue Test For the Johansen cointegration test, there is a hypothesis test to determine r, the number of cointegrating relationships. ...

2 years ago
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RE: How to be sure that two series are cointegrated with CointegrationMLE and JohansenTest

Or, the time series chapter in this book. It has detailed instructions on how to use the SuanShu and NM Dev library.

2 years ago
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RE: How to be sure that two series are cointegrated with CointegrationMLE and JohansenTest

Hello, The best reference on the subject is this authoritative book:

2 years ago
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2 years ago
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3 years ago
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