com.numericalmethod.suanshu.stats.timeseries.linear.multivariate.stationaryprocess.arima
Class ArimaModel

java.lang.Object
  com.numericalmethod.suanshu.stats.timeseries.linear.multivariate.stationaryprocess.arima.ArimaxModel
      com.numericalmethod.suanshu.stats.timeseries.linear.multivariate.stationaryprocess.arima.ArimaModel

Direct Known Subclasses:

ArmaModel

public class ArimaModel
extends ArimaxModel

This class represents a multivariate ARIMA model.

Field Summary

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

mu, phi, psi, sigma, theta

Constructor Summary

ArimaModel(ArimaModel that)
Copy constructor.

ArimaModel(ArimaModel model)
Cast a univariate ARIMA model to a multivariate model.

ArimaModel(Matrix[] phi, int d, Matrix[] theta)
Construct a zero-intercept (mu) multivariate ARIMA model with unit variance.

ArimaModel(Matrix[] phi, int d, Matrix[] theta, Matrix sigma)
Construct a zero-intercept (mu) multivariate ARIMA model.

ArimaModel(Vector mu, Matrix[] phi, int d, Matrix[] theta)
Construct a multivariate ARIMA model with unit variance.

ArimaModel(Vector mu, Matrix[] phi, int d, Matrix[] theta, Matrix sigma)
Construct a multivariate ARIMA model.

Method Summary

ArmaModel

getArma() Get the ARMA specification of this ARIMA model, essentially ignoring the differencing.

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

ArimaModel

public ArimaModel(Vector mu,
                  Matrix[] phi,
                  int d,
                  Matrix[] theta,
                  Matrix sigma)

Construct a multivariate ARIMA model.

Parameters:

mu - the intercept (constant) vector

phi - the AR coefficients (excluding the initial 1); null if no AR coefficient

d - the order of integration

theta - the MA coefficients (excluding the initial 1); null if no MA coefficient

sigma - the covariance matrix of white noise

ArimaModel

public ArimaModel(Vector mu,
                  Matrix[] phi,
                  int d,
                  Matrix[] theta)

Construct a multivariate ARIMA model with unit variance.

Parameters:

mu - the intercept (constant) vector

phi - the AR coefficients (excluding the initial 1); null if no AR coefficient

d - the order of integration

theta - the MA coefficients (excluding the initial 1); null if no MA coefficient

ArimaModel

public ArimaModel(Matrix[] phi,
                  int d,
                  Matrix[] theta,
                  Matrix sigma)

Construct a zero-intercept (mu) multivariate ARIMA model.

Parameters:

phi - the AR coefficients (excluding the initial 1); null if no AR coefficient

d - the order of integration

theta - the MA coefficients (excluding the initial 1); null if no MA coefficient

sigma - the covariance matrix of white noise

ArimaModel

public ArimaModel(Matrix[] phi,
                  int d,
                  Matrix[] theta)

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

Parameters:

phi - the AR coefficients (excluding the initial 1); null if no AR coefficient

d - the order of integration

theta - the MA coefficients (excluding the initial 1); null if no MA coefficient

ArimaModel

public ArimaModel(ArimaModel that)

Copy constructor.

Parameters:

that - a multivariate ARIMA model

ArimaModel

public ArimaModel(ArimaModel model)

Cast a univariate ARIMA model to a multivariate model.

Parameters:

model - a univariate ARIMA model

Method Detail

getArma

public ArmaModel getArma()

Get the ARMA specification of this ARIMA model, essentially ignoring the differencing.

Returns:

the ARMA specification