com.cloudera.sparkts.models

TimeSeriesModel

trait TimeSeriesModel extends AnyRef

Models time dependent effects in a time series.

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ARGARCHModel, ARIMAModel, ARModel, EGARCHModel, EWMAModel, GARCHModel, RegressionARIMAModel
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  1. abstract def addTimeDependentEffects(ts: Vector, dest: Vector = null): 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.

  2. abstract def removeTimeDependentEffects(ts: Vector, dest: Vector = null): 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.

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