SuanShu, a Java numerical and statistical library



com.numericalmethod.suanshu.stats.timeseries.linear.multivariate.stationaryprocess.arma
Class VARXModel

java.lang.Object
  extended by com.numericalmethod.suanshu.stats.timeseries.linear.multivariate.arima.VARIMAXModel
      extended by com.numericalmethod.suanshu.stats.timeseries.linear.multivariate.stationaryprocess.arma.VARMAXModel
          extended by com.numericalmethod.suanshu.stats.timeseries.linear.multivariate.stationaryprocess.arma.VARXModel

public class VARXModel
extends VARMAXModel

A VARX (Vector AutoRegressive model with eXogeneous inputs) model, Xt, takes this form. \[ Y_t = \mu + \Sigma \phi_i * Y_{t-i} + \Psi * D_t + \epsilon_t \] where Yt, μ and εt are n-dimensional vectors. The n-by-n matrices i} (i = 1, 2, ..., p) denote the AR coefficients. Dt is an m-by-1 vector which contains all exogenous variables at time t (excluding the intercept term), and its coefficients are represented by an n-by-m matrix ψ.

This implementation provides conversion methods between a VARX(p) model and a VECM(p) model (long-run or transitory).

See Also:

Constructor Summary
VARXModel(Matrix[] phi, Matrix psi)
          Construct a VARX model with unit variance and zero-mean.
VARXModel(Matrix[] phi, Matrix psi, Matrix sigma)
          Construct a VARX model with zero-mean.
VARXModel(VARXModel that)
          Copy constructor.
VARXModel(VECMLongrun vecm)
          Construct a VARX(p) from a long-run VECM(p).
VARXModel(VECMTransitory vecm)
          Construct a VARX(p) from a transitory VECM(p).
VARXModel(Vector mu, Matrix[] phi, Matrix psi)
          Construct a VARX model with unit variance.
VARXModel(Vector mu, Matrix[] phi, Matrix psi, Matrix sigma)
          Construct a VARX model.
 
Method Summary
 
Methods inherited from class com.numericalmethod.suanshu.stats.timeseries.linear.multivariate.stationaryprocess.arma.VARMAXModel
armaxMean
 
Methods inherited from class com.numericalmethod.suanshu.stats.timeseries.linear.multivariate.arima.VARIMAXModel
AR, d, dimension, getVARMAX, MA, maxPQ, mu, p, phi, psi, q, sigma, theta
 
Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
 

Constructor Detail

VARXModel

public VARXModel(Vector mu,
                 Matrix[] phi,
                 Matrix psi,
                 Matrix sigma)
Construct a VARX model.

Parameters:
mu - the intercept (constant) vector
phi - the AR coefficients (excluding the initial 1)
psi - the coefficients of the deterministic terms (excluding the intercept)
sigma - the white noise covariance matrix

VARXModel

public VARXModel(Vector mu,
                 Matrix[] phi,
                 Matrix psi)
Construct a VARX model with unit variance.

Parameters:
mu - the intercept (constant) vector
phi - the AR coefficients (excluding the initial 1)
psi - the coefficients of the deterministic terms (excluding the intercept)

VARXModel

public VARXModel(Matrix[] phi,
                 Matrix psi,
                 Matrix sigma)
Construct a VARX model with zero-mean.

Parameters:
phi - the AR coefficients (excluding the initial 1)
psi - the coefficients of the deterministic terms (excluding the intercept)
sigma - the white noise covariance matrix

VARXModel

public VARXModel(Matrix[] phi,
                 Matrix psi)
Construct a VARX model with unit variance and zero-mean.

Parameters:
phi - the AR coefficients (excluding the initial 1)
psi - the coefficients of the deterministic terms (excluding the intercept)

VARXModel

public VARXModel(VECMTransitory vecm)
Construct a VARX(p) from a transitory VECM(p).

Parameters:
vecm - a transitory VECM(p)

VARXModel

public VARXModel(VECMLongrun vecm)
Construct a VARX(p) from a long-run VECM(p).

Parameters:
vecm - a long-run VECM(p)

VARXModel

public VARXModel(VARXModel that)
Copy constructor.

Parameters:
that - a VARX model


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