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#Com.numericalmethod.suanshu.stats.cointegration Classes and Interfaces - 6 results found.
NameDescriptionTypePackageFramework
CointegrationMLETwo or more time series are cointegrated if they each share a common type of stochastic drift, that is, to a limited degree they share a certain type of behavior in terms of their long-term fluctuations,Classcom.numericalmethod.suanshu.stats.cointegrationSuanShu
JohansenAsymptoticDistributionJohansen provides the asymptotic distributions of the two hypothesis testings (Eigen and Trace tests),Classcom.numericalmethod.suanshu.stats.cointegrationSuanShu
JohansenAsymptoticDistribution .FThis is a filtration function.Interfacecom.numericalmethod.suanshu.stats.cointegrationSuanShu
JohansenAsymptoticDistribution .Testthe available types of Johansen cointegration testsReturns the enum constant of this type with the specified name.Classcom.numericalmethod.suanshu.stats.cointegrationSuanShu
JohansenAsymptoticDistribution .TrendTypethe available types of trendsThis is trend type III: constant, no linear trend:Classcom.numericalmethod.suanshu.stats.cointegrationSuanShu
JohansenTestThe maximum number of cointegrating relations among a multivariate time series is the rank of the To determine the (most likely) number of cointegrating relations r,Classcom.numericalmethod.suanshu.stats.cointegrationSuanShu