com.numericalmethod.suanshu.stats.timeseries.linear.univariate.stationaryprocess.arma
Class ARModel

java.lang.Object
  com.numericalmethod.suanshu.stats.timeseries.linear.univariate.arima.ARIMAXModel
      com.numericalmethod.suanshu.stats.timeseries.linear.univariate.arima.ARIMAModel
          com.numericalmethod.suanshu.stats.timeseries.linear.univariate.stationaryprocess.arma.ARMAModel
              com.numericalmethod.suanshu.stats.timeseries.linear.univariate.stationaryprocess.arma.ARModel

Direct Known Subclasses:

LinearRepresentation

public class ARModel
extends ARMAModel

This class represents an AR model.

See Also:

Wikipedia: Autoregressive model

Constructor Summary

ARModel(ARModel that)
Copy constructor.

ARModel(double[] AR)
Construct a univariate AR model with unit variance and zero-intercept (mu).

ARModel(double[] AR, double sigma)
Construct a univariate AR model with zero-intercept (mu).

ARModel(double mu, double[] AR)
Construct a univariate AR model with unit variance.

ARModel(double mu, double[] AR, double sigma)
Construct a univariate AR model.

Method Summary

Methods inherited from class com.numericalmethod.suanshu.stats.timeseries.linear.univariate.stationaryprocess.arma.ARMAModel

conditionalMean, getDemeanedModel, unconditionalMean

Methods inherited from class com.numericalmethod.suanshu.stats.timeseries.linear.univariate.arima.ARIMAModel

getARMA

Methods inherited from class com.numericalmethod.suanshu.stats.timeseries.linear.univariate.arima.ARIMAXModel

AR, d, getARMAX, MA, maxPQ, mu, p, phi, phiPolynomial, psi, q, sigma, theta, thetaPolynomial, toString

Methods inherited from class java.lang.Object

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

Constructor Detail

ARModel

public ARModel(double mu,
               double[] AR,
               double sigma)

Construct a univariate AR model.

Parameters:

mu - the intercept (constant) term

AR - the AR coefficients (excluding the initial 1)

sigma - the white noise variance

ARModel

public ARModel(double mu,
               double[] AR)

Construct a univariate AR model with unit variance.

Parameters:

mu - the intercept (constant) term

AR - the AR coefficients (excluding the initial 1)

ARModel

public ARModel(double[] AR,
               double sigma)

Construct a univariate AR model with zero-intercept (mu).

Parameters:

AR - the AR coefficients (excluding the initial 1)

sigma - the white noise variance

ARModel

public ARModel(double[] AR)

Construct a univariate AR model with unit variance and zero-intercept (mu).

Parameters:

AR - the AR coefficients (excluding the initial 1)

ARModel

public ARModel(ARModel that)

Copy constructor.

Parameters:

that - a univariate AR model