com.numericalmethod.suanshu.stats.timeseries.linear.multivariate.stationaryprocess.arima.arma
Class AutoCorrelation

java.lang.Object
  com.numericalmethod.suanshu.analysis.function.matrix.R2toMatrix
      com.numericalmethod.suanshu.stats.timeseries.linear.multivariate.AutoCorrelationFunction
          com.numericalmethod.suanshu.stats.timeseries.linear.multivariate.stationaryprocess.arima.arma.AutoCorrelation

All Implemented Interfaces:

Function, RntoMatrix

public class AutoCorrelation
extends AutoCorrelationFunction

Compute the Auto-Correlation Function (ACF) for a vector AutoRegressive Moving Average (ARMA) model, assuming that EX_t = 0.

This implementation solves the Yule-Walker equation.

The R equivalent function are ARMAacf and TacvfAR in package FitAR.

See Also:

"P. J. Brockwell and R. A. Davis, "p. 420. Eq. 11.3.15. The Covariance Matrix Function of a Causal ARMA Process. Chapter 11.3. Multivariate Time Series," in Time Series: Theory and Methods, Springer, 2006."

Nested Class Summary

Nested classes/interfaces inherited from interface com.numericalmethod.suanshu.analysis.function.Function

Function.EvaluationException

Constructor Summary

AutoCorrelation(ArimaModel model, int nLags)
Compute the auto-correlation function of a vector ARMA model.

Method Summary

Matrix	evaluate(double lag)
Matrix	evaluate(double x1, double x2) Compute f(x1, x2).

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

get

Methods inherited from class com.numericalmethod.suanshu.analysis.function.matrix.R2toMatrix

dimension4Domain, dimension4Range, evaluate

Methods inherited from class java.lang.Object

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

Constructor Detail

AutoCorrelation

public AutoCorrelation(ArimaModel model,
                       int nLags)

Compute the auto-correlation function of a vector ARMA model.

Parameters:

model - an ARIMA specification

nLags - the number of lags in the result

Method Detail

evaluate

public Matrix evaluate(double lag)

evaluate

public Matrix evaluate(double x1,
                       double x2)

Description copied from class: R2toMatrix

Compute f(x1, x2).

Specified by:

evaluate in class R2toMatrix

Parameters:

x1 - x1

x2 - x2

Returns:

f(x1, x2)