Class TimeSeries.ARModel

java.lang.Object

org.episteme.core.mathematics.statistics.timeseries.TimeSeries.ARModel

Enclosing class:

TimeSeries

public static class TimeSeries.ARModel
extends Object

AutoRegressive model AR(p): X_t = c + Σφ_i*X_(t-i) + ε_t

Fits coefficients using Yule-Walker equations.

Since:

1.0

Author:

Silvere Martin-Michiellot, Gemini AI (Google DeepMind)

Constructor Summary

Constructors

Constructor	Description
ARModel(Real[] data, int order)

Method Summary

Modifier and Type	Method	Description
Real	forecast(Real[] history)
Real[]	getCoefficients()

Methods inherited from class Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

ARModel

public ARModel(Real[] data,
 int order)

Method Details

forecast

public Real forecast(Real[] history)

getCoefficients

public Real[] getCoefficients()