com.cloudera.sparkts

models

package models

Visibility
  1. Public
  2. All

Type Members

  1. class ARGARCHModel extends TimeSeriesModel

    A GARCH(1, 1) + AR(1) model, where y(i) = c + phi * y(i - 1) + eta(i), and h(i), the variance of eta(i), is given by h(i) = omega + alpha * eta(i) ** 2 + beta * h(i - 1) ** 2

  2. class ARIMAModel extends TimeSeriesModel

  3. class ARModel extends TimeSeriesModel

  4. class EGARCHModel extends TimeSeriesModel

  5. class EWMAModel extends TimeSeriesModel

  6. class GARCHModel extends TimeSeriesModel

  7. class RegressionARIMAModel extends TimeSeriesModel

  8. trait TimeSeriesModel extends AnyRef

    Models time dependent effects in a time series.

Value Members

  1. object ARGARCH

  2. object ARIMA

    ARIMA models allow modeling timeseries as a function of prior values of the series (i.

  3. object Autoregression

  4. object EWMA

    Fits an Exponentially Weight Moving Average model (EWMA) (aka.

  5. object GARCH

  6. object RegressionARIMA

    This model is basically a regression with ARIMA error structure see https://onlinecourses.science.psu.edu/stat510/node/53 https://www.otexts.org/fpp/9/1 http://robjhyndman.com/talks/RevolutionR/11-Dynamic-Regression.pdf The basic idea is that for usual regression models Y = B*X + e e should be IID ~ N(0,sigma2), but in time series problems, e tends to have time series characteristics.

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