Uses of Class
dev.nm.stat.timeseries.linear.univariate.stationaryprocess.arma.ARMAModel

Packages that use ARMAModel

Package	Description
dev.nm.stat.timeseries.linear.multivariate.stationaryprocess.arma
dev.nm.stat.timeseries.linear.univariate.arima
dev.nm.stat.timeseries.linear.univariate.stationaryprocess.arma	ARMA model fitting and forecasting from an ordered observation history.
dev.nm.stat.timeseries.linear.univariate.stationaryprocess.armagarch

Uses of ARMAModel in dev.nm.stat.timeseries.linear.multivariate.stationaryprocess.arma

Constructors in dev.nm.stat.timeseries.linear.multivariate.stationaryprocess.arma with parameters of type ARMAModel

Constructor and Description
VARMAModel(ARMAModel model) Construct a multivariate model from a univariate ARMA model.

Uses of ARMAModel in dev.nm.stat.timeseries.linear.univariate.arima

Methods in dev.nm.stat.timeseries.linear.univariate.arima that return ARMAModel

Modifier and Type	Method and Description
ARMAModel	ARIMAModel.getARMA() Get the ARMA part of this ARIMA model, essentially ignoring the differencing.

Uses of ARMAModel in dev.nm.stat.timeseries.linear.univariate.stationaryprocess.arma

Subclasses of ARMAModel in dev.nm.stat.timeseries.linear.univariate.stationaryprocess.arma

Modifier and Type	Class and Description
class	ARModel This class represents an AR model.
class	LinearRepresentation The linear representation of an Autoregressive Moving Average (ARMA) model is a (truncated) infinite sum of AR terms.
class	MAModel This class represents a univariate MA model.

Methods in dev.nm.stat.timeseries.linear.univariate.stationaryprocess.arma that return ARMAModel

Modifier and Type	Method and Description
ARMAModel	ConditionalSumOfSquares.getARMAModel() Get the fitted ARMA model.
ARMAModel	ARMAModel.getDemeanedModel() Get the demeaned version of the time series model. \[ Y_t = (X_t - \mu) = \sum_{i=1}^p \phi_i (X_{t-i} - \mu) + \sum_{i=1}^q \theta_j \epsilon_{t-j} + \epsilon_t \] μ is the unconditional mean.

Methods in dev.nm.stat.timeseries.linear.univariate.stationaryprocess.arma with parameters of type ARMAModel

Modifier and Type	Method and Description
static AutoCovarianceFunction	ARMAForecastOneStep.K(ARMAModel arma)

Constructors in dev.nm.stat.timeseries.linear.univariate.stationaryprocess.arma with parameters of type ARMAModel

Constructor and Description
ARMAForecast(IntTimeTimeSeries xt, ARMAModel arma) Constructs a forecaster for a time series assuming ARMA model.
ARMAForecastMultiStep(double[] xt, ARMAModel arma, int h) Makes the h-step ahead prediction for an ARMA model.
ARMAForecastMultiStep(IntTimeTimeSeries xt, ARMAModel arma) Makes the one-step ahead prediction for an ARMA model.
ARMAForecastMultiStep(IntTimeTimeSeries xt, ARMAModel arma, int h) Makes the h-step ahead prediction for an ARMA model.
ARMAForecastMultiStep(IntTimeTimeSeries xt, ARMAModel arma, int h, InnovationsAlgorithm inn) Makes the h-step ahead prediction for an ARMA model.
ARMAForecastMultiStep(IntTimeTimeSeries xt, ARMAModel arma, int h, InnovationsAlgorithm inn, ARMAForecastOneStep forecast1) Makes the h-step ahead prediction for an ARMA model.
ARMAForecastOneStep(double[] xt, ARMAModel arma) Makes the one-step ahead prediction for an ARMA model.
ARMAForecastOneStep(IntTimeTimeSeries xt, ARMAModel arma) Makes the one-step ahead prediction for an ARMA model.
ARMAForecastOneStep(IntTimeTimeSeries xt, ARMAModel arma, InnovationsAlgorithm inn) Makes the one-step ahead prediction for an ARMA model.
ARMAModel(ARMAModel that) Copy constructor.
AutoCorrelation(ARMAModel model, int nLags) Compute the auto-correlation function for an ARMA model.
AutoCovariance(ARMAModel model) Computes the auto-covariance function for an ARMA model.
LinearRepresentation(ARMAModel arma) Construct the linear representation of an ARMA model up to the default number of lags LinearRepresentation.DEFAULT_NUMBER_OF_LAGS.
LinearRepresentation(ARMAModel arma, int nLags) Construct the linear representation of an ARMA model.

Uses of ARMAModel in dev.nm.stat.timeseries.linear.univariate.stationaryprocess.armagarch

Methods in dev.nm.stat.timeseries.linear.univariate.stationaryprocess.armagarch that return ARMAModel

Modifier and Type	Method and Description
ARMAModel	ARMAGARCHModel.getARMAModel() Get the ARMA part of this model.

Constructors in dev.nm.stat.timeseries.linear.univariate.stationaryprocess.armagarch with parameters of type ARMAModel

Constructor and Description
ARMAGARCHModel(ARMAModel arma, GARCHModel garch) Construct a univariate ARMA-GARCH model.