dev.nm.stat.evt.timeseries

Class MARModel

java.lang.Object

dev.nm.stat.evt.timeseries.MARMAModel

dev.nm.stat.evt.timeseries.MARModel

public class MARModel
extends MARMAModel

This is equivalent to MARMA(p, 0).

The R equivalent function is evd::mar.

Constructor Summary

Constructors

Constructor and Description
MARModel(double[] AR) Create an instance with the AR coefficients, using FrechetDistribution as the GEV distribution.
MARModel(double[] AR, UnivariateEVD dist) Create an instance with the AR coefficients, and a GEV distribution for generating innovations.

Method Summary

Methods inherited from class dev.nm.stat.evt.timeseries.MARMAModel

AR, getDistribution, MA, p, q

Methods inherited from class java.lang.Object

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

Constructor Detail

MARModel

public MARModel(double[] AR)

Create an instance with the AR coefficients, using FrechetDistribution as the GEV distribution.

Parameters:

AR - the AR coefficients \(\phi_i\)

MARModel

public MARModel(double[] AR,
                UnivariateEVD dist)

Create an instance with the AR coefficients, and a GEV distribution for generating innovations.

Parameters:

AR - the AR coefficients \(\phi_i\)

dist - the GEV distribution