Module ojalgo

Package org.ojalgo.random.scedasticity

Interface ScedasticityModel

All Known Implementing Classes:

AbstractScedasticity, ARCH, GARCH, Homoscedastic

public interface ScedasticityModel

Method Summary

Modifier and Type	Method	Description
double	getMean()
default double	getStandardDeviation()
double	getVariance()
void	initialise(double mean, double variance)
void	update(double value)
default PrimitiveSeries	variances(PrimitiveSeries values)	Takes a series of realised values and outputs a series of (locally fluctuating) variances.

Method Detail

getMean

double getMean()

getStandardDeviation

default double getStandardDeviation()

getVariance

double getVariance()

initialise

void initialise(double mean,
                double variance)

update

void update(double value)

variances

default PrimitiveSeries variances(PrimitiveSeries values)

Takes a series of realised values and outputs a series of (locally fluctuating) variances.