haksunli
@haksunli
Admin
Member
Joined: Jan 21, 2020
Last seen: Nov 4, 2022
Topics: 13 / Replies: 7
Topic
Forum
Replies: 7
Views: 312
Topic
Forum
Replies: 1
Views: 253
Reply
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?

6 months ago
Reply
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.

6 months ago
Reply
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...

6 months ago
Reply
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...

6 months ago
Reply
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. ...

7 months ago
Reply
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.

7 months ago
Reply
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:

7 months ago
Topic
1 year ago
Forum
Replies: 1
Views: 370
Topic
Forum
Replies: 1
Views: 522
Topic
2 years ago
Forum
Replies: 1
Views: 446
Topic
Forum
Replies: 1
Views: 554
Topic
Forum
Replies: 1
Views: 377
Page 1 / 2