Download a complete copy of this risk
analysis resource for free here.
|
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).
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.