Interface ScedasticityModel

All Known Implementing Classes:
AbstractScedasticity, ARCH, GARCH, Homoscedastic

public interface ScedasticityModel
  • Method Details

    • getMean

      double getMean()
    • getStandardDeviation

      default double getStandardDeviation()
    • getVariance

      double getVariance()
    • initialise

      void initialise(double mean, double variance)
    • update

      void update(double value)
    • variances

      default PrimitiveSeries variances(PrimitiveSeries values)
      Takes a series of realised values and outputs a series of (locally fluctuating) variances.