net.finmath.timeseries

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.

Method Summary

Modifier and Type	Method and Description
java.util.Map<java.lang.String,java.lang.Object>	getBestParameters() Returns the parameters estimated for the given time series.
java.util.Map<java.lang.String,java.lang.Object>	getBestParameters(java.util.Map<java.lang.String,java.lang.Object> previousResults) Returns the parameters estimated for the given time series, using a parameter guess.
HistoricalSimulationModel	getCloneWithWindow(int windowIndexStart, int windowIndexEnd) Create a new model, using only a window of the times series.

Method Detail

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

java.util.Map<java.lang.String,java.lang.Object> getBestParameters()

Returns the parameters estimated for the given time series.

Returns:

The parameters estimated for the given time series.

getBestParameters

java.util.Map<java.lang.String,java.lang.Object> getBestParameters(java.util.Map<java.lang.String,java.lang.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.