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

java.lang.Object
  com.numericalmethod.suanshu.stats.timeseries.multivariate.realtime.SimpleMultiVariateTimeSeries
      com.numericalmethod.suanshu.stats.timeseries.linear.multivariate.stationaryprocess.arima.ArimaSim

All Implemented Interfaces:

MultiVariateTimeSeries<java.lang.Integer>, TimeSeries<java.lang.Integer,Vector>

public class ArimaSim
extends SimpleMultiVariateTimeSeries

This class generates simulations of a multivariate ARIMA model.

Nested Class Summary

Nested classes/interfaces inherited from class com.numericalmethod.suanshu.stats.timeseries.multivariate.realtime.SimpleMultiVariateTimeSeries

SimpleMultiVariateTimeSeries.Iterator

Nested classes/interfaces inherited from interface com.numericalmethod.suanshu.stats.timeseries.multivariate.realtime.MultiVariateTimeSeries

MultiVariateTimeSeries.Entry

Constructor Summary

ArimaSim(int n, ArimaModel arima)
Simulate a multivariate ARIMA process.

ArimaSim(int n, ArimaModel arima, long seed)
Simulate a multivariate ARIMA process.

Method Summary

Methods inherited from class com.numericalmethod.suanshu.stats.timeseries.multivariate.realtime.SimpleMultiVariateTimeSeries

diff, dimension, drop, equals, get, hashCode, iterator, lag, lag, size, toMatrix, toString

Methods inherited from class java.lang.Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Constructor Detail

ArimaSim

public ArimaSim(int n,
                ArimaModel arima,
                long seed)

Simulate a multivariate ARIMA process.

Parameters:

n - the length of the multivariate time series to generate

arima - a multivariate ARIMA model

seed - a seed for the random number generation

ArimaSim

public ArimaSim(int n,
                ArimaModel arima)

Simulate a multivariate ARIMA process.

Parameters:

n - the length of the multivariate time series to generate

arima - a multivariate ARIMA model