SuanShu, a Java numerical and statistical library



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

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


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