Package org.ojalgo.random.scedasticity
Class ARCH
java.lang.Object
org.ojalgo.random.scedasticity.AbstractScedasticity
org.ojalgo.random.scedasticity.ARCH
- All Implemented Interfaces:
ScedasticityModel
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Field Summary
FieldsModifier and TypeFieldDescriptionprivate double
private double
private final double[]
private final double[]
Fields inherited from class org.ojalgo.random.scedasticity.AbstractScedasticity
DEFAULT_VARIANCE, ELEVEN_TWELFTHS
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Constructor Summary
Constructors -
Method Summary
Modifier and TypeMethodDescriptionbase
(double base) errorWeights
(double... lagged) static ARCH
Parameter estimation using heuristics (not max likelihood).double
getMean()
double
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) Methods inherited from class org.ojalgo.random.scedasticity.AbstractScedasticity
average, decreasing, parameters
Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
Methods inherited from interface org.ojalgo.random.scedasticity.ScedasticityModel
getStandardDeviation, variances
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Field Details
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myBase
private double myBase -
myMean
private double myMean -
mySquaredErrors
private final double[] mySquaredErrors -
myWeights
private final double[] myWeights
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Constructor Details
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ARCH
public ARCH(int q)
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Method Details
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estimate
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
- See Also:
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newInstance
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
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errorWeights
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getMean
public double getMean() -
getVariance
public double getVariance() -
initialise
public void initialise(double mean, double variance) -
update
public void update(double value)
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