com.numericalmethod.suanshu.stats.timeseries.linear.multivariate.stationaryprocess.arma

Class ARModel

java.lang.Object

com.numericalmethod.suanshu.stats.timeseries.linear.multivariate.arima.ARIMAXModel

com.numericalmethod.suanshu.stats.timeseries.linear.multivariate.arima.ARIMAModel

com.numericalmethod.suanshu.stats.timeseries.linear.multivariate.stationaryprocess.arma.ARMAModel

com.numericalmethod.suanshu.stats.timeseries.linear.multivariate.stationaryprocess.arma.ARModel

All Implemented Interfaces:

java.io.Serializable

public class ARModel
extends ARMAModel

This class represents a VAR model.

See Also:

Wikipedia: Vector autoregressive model, Serialized Form

Field Summary

Fields inherited from class com.numericalmethod.suanshu.stats.timeseries.linear.multivariate.arima.ARIMAXModel

mu, phi, psi, sigma, theta

Constructor Summary

Constructors

Constructor and Description
ARModel(ARModel that) Copy constructor.
ARModel(ARModel model) Cast a univariate AR model to a multivariate model.
ARModel(Matrix[] phi) Construct a zero-intercept (mu) VAR model with unit variance.
ARModel(Matrix[] phi, Matrix sigma) Construct a zero-intercept (mu) VAR model.
ARModel(Vector mu, Matrix[] phi) Construct a VAR model with unit variance.
ARModel(Vector mu, Matrix[] phi, Matrix sigma) Construct a VAR model.

Method Summary

Methods inherited from class com.numericalmethod.suanshu.stats.timeseries.linear.multivariate.stationaryprocess.arma.ARMAModel

armaMean, armaMeanNoIntercept

Methods inherited from class com.numericalmethod.suanshu.stats.timeseries.linear.multivariate.arima.ARIMAModel

getArma

Methods inherited from class com.numericalmethod.suanshu.stats.timeseries.linear.multivariate.arima.ARIMAXModel

AR, AR, d, dimension, getArmax, MA, MA, maxPQ, mu, p, psi, q, sigma

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

ARModel

public ARModel(Vector mu,
               Matrix[] phi,
               Matrix sigma)

Construct a VAR model.

Parameters:

mu - the intercept (constant) vector

phi - the AR coefficients (excluding the initial 1)

sigma - the covariance matrix of white noise

ARModel

public ARModel(Vector mu,
               Matrix[] phi)

Construct a VAR model with unit variance.

Parameters:

mu - the intercept (constant) vector

phi - the AR coefficients (excluding the initial 1)

ARModel

public ARModel(Matrix[] phi,
               Matrix sigma)

Construct a zero-intercept (mu) VAR model.

Parameters:

phi - the AR coefficients (excluding the initial 1)

sigma - the covariance matrix of white noise

ARModel

public ARModel(Matrix[] phi)

Construct a zero-intercept (mu) VAR model with unit variance.

Parameters:

phi - the AR coefficients (excluding the initial 1)

ARModel

public ARModel(ARModel that)

Copy constructor.

Parameters:

that - a VAR model

ARModel

public ARModel(ARModel model)

Cast a univariate AR model to a multivariate model.

Parameters:

model - a univariate AR model