Class ARCH

    • Field Detail

      • myBase

        private double myBase
      • myMean

        private double myMean
      • mySquaredErrors

        private final double[] mySquaredErrors
      • myWeights

        private final double[] myWeights
    • Constructor Detail

      • ARCH

        public ARCH​(int q)
    • Method Detail

      • estimate

        public static ARCH estimate​(Access1D<?> series,
                                    int q)
        Parameter estimation using heuristics (not max likelihood).
        Parameters:
        series - Series to adapt to
        q - Number of lagged squared error terms
        Returns:
        Ready to use ARCH model
      • 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 set base(double) and errorWeights(double...).
      • base

        public ARCH base​(double base)
      • errorWeights

        public ARCH errorWeights​(double... lagged)
      • getMean

        public double getMean()
      • getVariance

        public double getVariance()
      • initialise

        public void initialise​(double mean,
                               double variance)
      • update

        public void update​(double value)