com.cloudera.sparkts.models

EGARCHModel

class EGARCHModel extends TimeSeriesModel

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TimeSeriesModel, AnyRef, Any
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Instance Constructors

  1. new EGARCHModel(omega: Double, alpha: Double, beta: Double)

Value Members

  1. final def !=(arg0: AnyRef): Boolean

    Definition Classes
    AnyRef
  2. final def !=(arg0: Any): Boolean

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  3. final def ##(): Int

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  4. final def ==(arg0: AnyRef): Boolean

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  5. final def ==(arg0: Any): Boolean

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  6. def addTimeDependentEffects(ts: Vector, dest: Vector): Vector

    Takes a series of i.

    Takes a series of i.i.d. observations and returns a time series based on it with the time-dependent effects of this model added.

    ts

    Time series of i.i.d. observations.

    dest

    Array to put the filtered series, can be the same as ts.

    returns

    The dest series, for convenience.

    Definition Classes
    EGARCHModelTimeSeriesModel
  7. val alpha: Double

  8. final def asInstanceOf[T0]: T0

    Definition Classes
    Any
  9. val beta: Double

  10. def clone(): AnyRef

    Attributes
    protected[java.lang]
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    @throws( ... )
  11. final def eq(arg0: AnyRef): Boolean

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  12. def equals(arg0: Any): Boolean

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  13. def finalize(): Unit

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    protected[java.lang]
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    @throws( classOf[java.lang.Throwable] )
  14. final def getClass(): Class[_]

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  15. def hashCode(): Int

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  16. final def isInstanceOf[T0]: Boolean

    Definition Classes
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  17. def logLikelihood(ts: Array[Double]): Double

    Returns the log likelihood of the parameters on the given time series.

    Returns the log likelihood of the parameters on the given time series.

    Based on http://swopec.hhs.se/hastef/papers/hastef0564.pdf

  18. final def ne(arg0: AnyRef): Boolean

    Definition Classes
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  19. final def notify(): Unit

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  20. final def notifyAll(): Unit

    Definition Classes
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  21. val omega: Double

  22. def removeTimeDependentEffects(ts: Vector, dest: Vector): Vector

    Takes a time series that is assumed to have this model's characteristics and returns a time series with time-dependent effects of this model removed.

    Takes a time series that is assumed to have this model's characteristics and returns a time series with time-dependent effects of this model removed.

    This is the inverse of TimeSeriesModel#addTimeDependentEffects.

    ts

    Time series of observations with this model's characteristics.

    dest

    Array to put the filtered series, can be the same as ts.

    returns

    The dest series, for convenience.

    Definition Classes
    EGARCHModelTimeSeriesModel
  23. final def synchronized[T0](arg0: ⇒ T0): T0

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    AnyRef
  24. def toString(): String

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  25. final def wait(): Unit

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  26. final def wait(arg0: Long, arg1: Int): Unit

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  27. final def wait(arg0: Long): Unit

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Inherited from TimeSeriesModel

Inherited from AnyRef

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