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Class Summary |
| ArmaModel |
This class represents a multivariate ARMA model. |
| ArmaxModel |
This class represents a multivariate ARMAX (ARMA model with eXogenous inputs) model. |
| ArModel |
This class represents a VAR model. |
| AutoCorrelation |
Compute the Auto-Correlation Function (ACF) for a vector AutoRegressive Moving Average (ARMA) model, assuming that
EXt = 0. |
| AutoCovariance |
Compute the Auto-CoVariance Function (ACVF) for a vector AutoRegressive Moving Average (ARMA) model, assuming that
EXt = 0. |
| InnovationAlgorithm |
This is an implementation, adapted for an ARMA process, of the innovation algorithm,
which is an efficient way of obtaining a one step least square linear predictor. |
| Invertibility |
This class computes the inverse representation of an Autoregressive Moving Average (ARMA) model. |
| LinearRepresentation |
This class computes the linear representation of an Autoregressive Moving Average (ARMA) model. |
| MaModel |
This class represents a multivariate MA model. |
| VarFitting |
This class estimates the coefficients for a VAR model. |
| VarxModel |
This class represents a VARX (VAR model with eXogenous inputs) model. |
| Vecm |
This class represents a Vector Error Correction Model (VECM). |
| VecmLongrun |
This class represents a long-run Vector Error Correction Model (VECM). |
| VecmTransitory |
This class represents a transitory Vector Error Correction Model (VECM). |