Package com.numericalmethod.suanshu.stats.timeseries.linear.multivariate.stationaryprocess

Class Summary

InnovationAlgorithm	The innovation algorithm is an efficient way of obtaining a one step least square linear predictor for a linear time series {Xt} with known covariance structure.
InnovationAlgorithmImpl	This class implements the part of the innovation algorithm that computes the prediction coefficients, V and Θ.