Interface HistoricalSimulationModel

All Known Implementing Classes:
ARMAGARCH, DisplacedLognormal, DisplacedLognormalARMAGARCH, DisplacedLognormalGARCH, DisplacedLognormalGJRGARCH, GARCH, SimpleHistroricalSimulation
public interface HistoricalSimulationModel
A parametric time series model based on a given times series.
Version:
1.0
Author:
Christian Fries

  • Method Details

    • getCloneWithWindow

      HistoricalSimulationModel getCloneWithWindow(int windowIndexStart, int windowIndexEnd)
      Create a new model, using only a window of the times series.
      Parameters:
      windowIndexStart - Index of the first element to be part of the new time series.
      windowIndexEnd - Index of the last element to be part of the new time series.
      Returns:
      A new historical simulation using a different data window.

    • getBestParameters

      Map<String,Object> getBestParameters()
      Returns the parameters estimated for the given time series.
      Returns:
      The parameters estimated for the given time series.

    • getBestParameters

      Map<String,Object> getBestParameters(Map<String,Object> previousResults)
      Returns the parameters estimated for the given time series, using a parameter guess.
      Parameters:
      previousResults - A parameter guess.
      Returns:
      The parameters estimated for the given time series.