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

Class ARModel

java.lang.Object

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

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

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

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

All Implemented Interfaces:

java.io.Serializable

public class ARModel
extends ARMAModel

This class represents an AR model.

See Also:

Wikipedia: Autoregressive model, Serialized Form

Field Summary

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

AR, MA, mu, psi, sigma

Constructor Summary

Constructors

Constructor and Description
ARModel(ARModel that) Copy constructor.
ARModel(double[] AR) Construct a zero-intercept (mu) univariate AR model with unit variance.
ARModel(double[] AR, double sigma) Construct a zero-intercept (mu) univariate AR model.
ARModel(double mu, double[] AR) Construct a univariate AR model with unit variance.
ARModel(double mu, double[] AR, double sigma) Construct a univariate AR model.

Method Summary

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

armaMean, armaMeanNoIntercept

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

getArma

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

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

Methods inherited from class java.lang.Object

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

Constructor Detail

ARModel

public ARModel(double mu,
               double[] AR,
               double sigma)

Construct a univariate AR model.

Parameters:

mu - the intercept (constant) term

AR - the AR coefficients (excluding the initial 1)

sigma - the white noise variance

ARModel

public ARModel(double mu,
               double[] AR)

Construct a univariate AR model with unit variance.

Parameters:

mu - the intercept (constant) term

AR - the AR coefficients (excluding the initial 1)

ARModel

public ARModel(double[] AR,
               double sigma)

Construct a zero-intercept (mu) univariate AR model.

Parameters:

AR - the AR coefficients (excluding the initial 1)

sigma - the white noise variance

ARModel

public ARModel(double[] AR)

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

Parameters:

AR - the AR coefficients (excluding the initial 1)

ARModel

public ARModel(ARModel that)

Copy constructor.

Parameters:

that - a univariate AR model