Name | Description | Type | Package | Framework |
CointegrationMLE | Two 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, | Class | com.numericalmethod.suanshu.stats.cointegration | SuanShu |
JohansenAsymptoticDistribution | Johansen provides the asymptotic distributions of the two hypothesis testings (Eigen and Trace tests), | Class | com.numericalmethod.suanshu.stats.cointegration | SuanShu |
JohansenAsymptoticDistribution .F | This is a filtration function. | Interface | com.numericalmethod.suanshu.stats.cointegration | SuanShu |
JohansenAsymptoticDistribution .Test | the available types of Johansen cointegration testsReturns the enum constant of this type with the specified name. | Class | com.numericalmethod.suanshu.stats.cointegration | SuanShu |
JohansenAsymptoticDistribution .TrendType | the available types of trendsThis is trend type III: constant, no linear trend: | Class | com.numericalmethod.suanshu.stats.cointegration | SuanShu |
JohansenTest | The 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, | Class | com.numericalmethod.suanshu.stats.cointegration | SuanShu |