Package org.ojalgo.random.scedasticity
Class ARCH
- java.lang.Object
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- org.ojalgo.random.scedasticity.AbstractScedasticity
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- org.ojalgo.random.scedasticity.ARCH
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- All Implemented Interfaces:
ScedasticityModel
public final class ARCH extends AbstractScedasticity
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Field Summary
Fields Modifier and Type Field Description private double
myBase
private double
myMean
private double[]
mySquaredErrors
private double[]
myWeights
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Fields inherited from class org.ojalgo.random.scedasticity.AbstractScedasticity
DEFAULT_VARIANCE, ELEVEN_TWELFTHS
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Constructor Summary
Constructors Constructor Description ARCH(int q)
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Method Summary
All Methods Static Methods Instance Methods Concrete Methods Modifier and Type Method Description ARCH
base(double base)
ARCH
errorWeights(double... lagged)
static ARCH
estimate(Access1D<?> series, int q)
Parameter estimation using heuristics (not max likelihood).double
getMean()
double
getVariance()
void
initialise(double mean, double variance)
static ARCH
newInstance(int q)
static ARCH
newInstance(int q, double mean, double variance)
Will create an instance configured with default parameters.void
update(double value)
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Methods inherited from class org.ojalgo.random.scedasticity.AbstractScedasticity
average, decreasing, parameters
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Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
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Methods inherited from interface org.ojalgo.random.scedasticity.ScedasticityModel
getStandardDeviation, variances
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Method Detail
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estimate
public static ARCH estimate(Access1D<?> series, int q)
Parameter estimation using heuristics (not max likelihood).- Parameters:
series
- Series to adapt toq
- Number of lagged squared error terms- Returns:
- Ready to use ARCH model
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newInstance
public static ARCH newInstance(int q)
- See Also:
newInstance(int, double, double)
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newInstance
public static ARCH newInstance(int q, double mean, double variance)
Will create an instance configured with default parameters. What these are may change in the future. You're better of estimating suitable paramaters for your use case and then setbase(double)
anderrorWeights(double...)
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base
public ARCH base(double base)
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errorWeights
public ARCH errorWeights(double... lagged)
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getMean
public double getMean()
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getVariance
public double getVariance()
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initialise
public void initialise(double mean, double variance)
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update
public void update(double value)
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