SuanShu, a Java numerical and statistical library



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

java.lang.Object
  extended by com.numericalmethod.suanshu.analysis.function.rn2r1.AbstractRealScalarFunction
      extended by com.numericalmethod.suanshu.analysis.function.rn2r1.AbstractBivariateRealFunction
          extended by com.numericalmethod.suanshu.stats.timeseries.linear.univariate.AutoCovarianceFunction
              extended by com.numericalmethod.suanshu.stats.timeseries.linear.univariate.stationaryprocess.arma.AutoCovariance
All Implemented Interfaces:
Function<Vector,Double>, BivariateRealFunction, RealScalarFunction

public class AutoCovariance
extends AutoCovarianceFunction

Computes the Auto-CoVariance Function (ACVF) for an AutoRegressive Moving Average (ARMA) model by recursion.

The R equivalent functions are ARMAacf and TacvfAR in package FitAR.

See Also:
"P. J. Brockwell and R. A. Davis, "Eqs. 3.3.8, 3.3.9, Chapter 3.3, Computing the Autocovariance Function of an ARMA(p, q) Process," Time Series: Theory and Methods, Springer, 2006."

Nested Class Summary
 
Nested classes/interfaces inherited from interface com.numericalmethod.suanshu.analysis.function.Function
Function.EvaluationException
 
Constructor Summary
AutoCovariance(ARMAModel model)
          Computes the auto-covariance function for an ARMA model.
 
Method Summary
 double evaluate(double n)
          Gets the i-th auto-covariance.
 double evaluate(double i, double j)
          Evaluate y = f(x1,x2).
 double psi(int j)
           
 
Methods inherited from class com.numericalmethod.suanshu.stats.timeseries.linear.univariate.AutoCovarianceFunction
get
 
Methods inherited from class com.numericalmethod.suanshu.analysis.function.rn2r1.AbstractBivariateRealFunction
evaluate
 
Methods inherited from class com.numericalmethod.suanshu.analysis.function.rn2r1.AbstractRealScalarFunction
dimensionOfDomain, dimensionOfRange
 
Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
 
Methods inherited from interface com.numericalmethod.suanshu.analysis.function.Function
dimensionOfDomain, dimensionOfRange
 

Constructor Detail

AutoCovariance

public AutoCovariance(ARMAModel model)
Computes the auto-covariance function for an ARMA model.

Parameters:
model - an ARIMA model
Method Detail

evaluate

public double evaluate(double i,
                       double j)
Description copied from interface: BivariateRealFunction
Evaluate y = f(x1,x2).

Parameters:
i - x1
j - x2
Returns:
f(x1, x2)

evaluate

public double evaluate(double n)
Gets the i-th auto-covariance.

Parameters:
n - the lag order
Returns:
the i-th auto-covariance

psi

public double psi(int j)


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