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#Com.numericalmethod.suanshu.stats.timeseries.linear.univariate.stationaryprocess.armagarch Classes and Interfaces - 3 results found.
NameDescriptionTypePackageFramework
AR1GARCH11ModelAn AR1-GARCH11 model takes this form.Classcom.numericalmethod.suanshu.stats.timeseries.linear.univariate.stationaryprocess.armagarchSuanShu
ARMAGARCHFitThis implementation fits, for a data set, an ARMA-GARCH model by Quasi-Maximum Likelihood "QMLE" stands for Quasi-Maximum Likelihood Estimation, which assumes Normal distribution andClasscom.numericalmethod.suanshu.stats.timeseries.linear.univariate.stationaryprocess.armagarchSuanShu
ARMAGARCHModelAn ARMA-GARCH model takes this form: X_t = mu + sum_{i=1}^p phi_i X_{t-i} + sum_{i=1}^q heta_j epsilon_{t-j} + epsilon_t,Classcom.numericalmethod.suanshu.stats.timeseries.linear.univariate.stationaryprocess.armagarchSuanShu