Package dev.nm.stat.timeseries.linear.multivariate.arima

Class Summary

Class	Description
VARIMAModel	An ARIMA(p, d, q) process, \(Y_{t}\), is such that \[ X_t = (1 - L)^d Y_t \] where L is the lag operator, d the order of difference, \(X_{t}\) an ARMA(p, q) process, for which \[ X_t = \mu + \Sigma \phi_i X_{t-i} + \Sigma \theta_j \epsilon_{t-j} + \epsilon_t, \] \(X_{t}\), μ and \(\epsilon _{t}\) are n-dimensional vectors.
VARIMASim	This class simulates a multivariate ARIMA process.
VARIMAXModel	The ARIMAX model (ARIMA model with eXogenous inputs) is a generalization of the ARIMA model by incorporating exogenous variables.