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

Class Invertibility

java.lang.Object

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

All Implemented Interfaces:

java.io.Serializable

public class Invertibility
extends java.lang.Object
implements java.io.Serializable

This class computes the inverse representation of an Autoregressive Moving Average (ARMA) model.

See Also:

"P. J. Brockwell and R. A. Davis, "Eq. 11.3.13., Theorem 13.3.2., Chapter 11.3 Multivariate ARMA Processes," in Time Series: Theory and Methods, Springer, 2006.", Serialized Form

Field Summary

Fields

Modifier and Type	Field and Description
static int	DEFAULT_NLAGS the default number of lags
ImmutableMatrix[]	PI the coefficients of the linear representation of the time series

Constructor Summary

Constructors

Constructor and Description
Invertibility(ARMAModel model) Construct the inverse representation of an ARMA model up to the default number of lags DEFAULT_NLAGS.
Invertibility(ARMAModel model, int nLags) Construct the inverse representation of an ARMA model.

Method Summary

Methods inherited from class java.lang.Object

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

Field Detail

DEFAULT_NLAGS

public static final int DEFAULT_NLAGS

the default number of lags

See Also:

Constant Field Values

PI

public final ImmutableMatrix[] PI

the coefficients of the linear representation of the time series

Constructor Detail

Invertibility

public Invertibility(ARMAModel model,
                     int nLags)

Construct the inverse representation of an ARMA model.

Parameters:

model - the ARMA model

nLags - the number of lags in the series

Invertibility

public Invertibility(ARMAModel model)

Construct the inverse representation of an ARMA model up to the default number of lags DEFAULT_NLAGS.

Parameters:

model - the ARMA model