dev.nm.stat.timeseries.linear.multivariate.stationaryprocess.arma

Class VMAInvertibility

java.lang.Object

dev.nm.stat.timeseries.linear.multivariate.stationaryprocess.arma.VMAInvertibility

public class VMAInvertibility
extends Object

The inverse representation of an Autoregressive Moving Average (ARMA) model is a (truncated) infinite sum of the Moving Averages.

See Also:

"P. J. Brockwell and R. A. Davis, "Eq. 11.3.13, Theorem 13.3.2, Chapter 11.3, Multivariate ARMA Processes," Time Series: Theory and Methods, Springer, 2006."

Field Summary

Fields

Modifier and Type	Field and Description
static int	DEFAULT_NLAGS the default number of lags

Constructor Summary

Constructors

Constructor and Description
VMAInvertibility(VARMAModel model) Construct the inverse representation of an ARMA model up to the default number of lags DEFAULT_NLAGS.
VMAInvertibility(VARMAModel model, int nLags) Construct the inverse representation of an ARMA model.

Method Summary

Modifier and Type	Method and Description
VMAModel	getMAModel() Get the MA model of the inverse representation.
Matrix[]	PI() Get the coefficients of the linear representation of the time series.

Methods inherited from class java.lang.Object

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

Field Detail

DEFAULT_NLAGS

public static final int DEFAULT_NLAGS

the default number of lags

See Also:

Constant Field Values

Constructor Detail

VMAInvertibility

public VMAInvertibility(VARMAModel model,
                        int nLags)

Construct the inverse representation of an ARMA model.

Parameters:

model - an ARMA model

nLags - the number of lags

VMAInvertibility

public VMAInvertibility(VARMAModel model)

Construct the inverse representation of an ARMA model up to the default number of lags DEFAULT_NLAGS.

Parameters:

model - an ARMA model

Method Detail

PI

public Matrix[] PI()

Get the coefficients of the linear representation of the time series.

Returns:

the coefficients of the linear representation

getMAModel

public VMAModel getMAModel()

Get the MA model of the inverse representation.

Returns:

the MA model of the inverse representation