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

java.lang.Object
  com.numericalmethod.suanshu.stats.timeseries.linear.multivariate.stationaryprocess.arima.arma.LinearRepresentation

public class LinearRepresentation
extends java.lang.Object

This class computes the linear representation of an Autoregressive Moving Average (ARMA) model. A linear representation writes the time series as an (infinite) AR model.

See Also:

"P. J. Brockwell and R. A. Davis, "Eq. 11.3.12., Theorem 11.3.1., Chapter 11.3 Multivariate ARMA Processes," in Time Series: Theory and Methods, Springer, 2006."

Field Summary

static int	DEFAULT_NUMBER_OF_LAGS the default number of lags
ImmutableMatrix[]	PSI the coefficients of the linear representation of the time series

Constructor Summary

LinearRepresentation(ArmaModel model)
Construct the linear representation of an ARMA model up to the default number of lags DEFAULT_NUMBER_OF_LAGS.

LinearRepresentation(ArmaModel model, int nLags)
Construct the linear 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_NUMBER_OF_LAGS

public static final int DEFAULT_NUMBER_OF_LAGS

the default number of lags

See Also:

Constant Field Values

PSI

public final ImmutableMatrix[] PSI

the coefficients of the linear representation of the time series

Constructor Detail

LinearRepresentation

public LinearRepresentation(ArmaModel model,
                            int nLags)

Construct the linear representation of an ARMA model.

Parameters:

model - the ARMA model

nLags - the number of lags in the series

LinearRepresentation

public LinearRepresentation(ArmaModel model)

Construct the linear representation of an ARMA model up to the default number of lags DEFAULT_NUMBER_OF_LAGS.

Parameters:

model - the ARMA model