VoseTimeMultiMA2

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See also: Time series in ModelRisk, Vose Multivariate Time Series window

VoseTimeMultiMA2({Mu},{Theta1},{Theta2},{CovMatrix},LogReturn,{LastValues},Data_in_rows)

Array function that simulates from a Multivariate Moving-Average time series model of order 2.

• {Mu} - Array of mean values for each marginal Normal distribution.

• {Theta1} - first matrix with moving-average parameters.

• {Theta2} - second matrix with moving-average parameters.

• {CovMatrix} - covariance matrix.

• LogReturn - Optional parameter specifying whether to return the actual time series (FALSE, default) or the log returns.

• {LastValues} - array of last known historic values to start forecast from.

• Data_in_rows - optional parameter that specifies if the data is in rows (TRUE) or columns (FALSE, default).

VoseFunctions for this time series

VoseTimeMultiMA2 - generates an array of random values from this time series.

VoseTimeMultiMA2Object - creates an object for this time series.

VoseTimeMultiMA2Fit - generates an array with random values from this time series fitted to data.

VoseTimeMultiMA2FitObject - creates an object for this time series fitted to data.