Class  Description 

VARFitting 
This class construct a VAR model by estimating the coefficients using OLS regression.

VARLinearRepresentation 
The linear representation of an Autoregressive Moving Average (ARMA) model is a (truncated)
infinite sum of AR terms.

VARMAAutoCorrelation 
Compute the AutoCorrelation Function (ACF) for a vector AutoRegressive Moving Average (ARMA) model, assuming that
EX_{t} = 0.

VARMAAutoCovariance 
Compute the AutoCoVariance Function (ACVF) for a vector AutoRegressive Moving Average (ARMA) model, assuming that
EX_{t} = 0.

VARMAForecastOneStep 
This is an implementation, adapted for an ARMA process, of the innovation algorithm,
which is an efficient way of obtaining a one step least square linear predictor.

VARMAModel 
A multivariate ARMA model, X_{t}, takes this form.

VARMAXModel 
The ARMAX model (ARMA model with eXogenous inputs) is a generalization of the ARMA model by
incorporating exogenous variables.

VARModel 
This class represents a VAR model.

VARXModel 
A VARX (Vector AutoRegressive model with eXogeneous inputs) model, X_{t}, takes
this form.

VECM 
A Vector Error Correction Model (VECM(p)) has one of the following specifications:
Transitory: \[ \Delta Y_t = \mu + \Pi Y_{t1} + \sum \left ( \Gamma_i Y_{t1} \right ) + \Psi D_t + \epsilon_t, i = 1, 2, ..., p1 \] or Longrun: \[ \Delta Y_t = \mu + \Pi Y_{tp} + \sum \left ( \Gamma_i Y_{t1} \right ) + \Psi D_t + \epsilon_t, i = 1, 2, ..., p1 \] Y_{t}, μ and ε_{t} are ndimensional vectors. 
VECMLongrun 
The longrun Vector Error Correction Model (VECM(p)) takes this form.

VECMTransitory 
A transitory Vector Error Correction Model (VECM(p)) takes this form.

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

VMAModel 
This class represents a multivariate MA model.

Copyright © 20102014 Numerical Method Incorporation Limited. All Rights Reserved.