Package com.opengamma.analytics.financial.timeseries.analysis

Examples of com.opengamma.analytics.financial.timeseries.analysis.AutocovarianceFunctionCalculator.evaluate()


    for (int i = 0; i < 200; i++) {
      assertEquals(Math.abs(rhoARMAP0[i] - rhoAR[i]), 0., eps);
      assertEquals(Math.abs(rhoARMA0Q[i] - rhoMA[i]), 0., eps);
    }
    final double[] rhoARMA11 = autocorrelation.evaluate(ARMA11);
    final double[] gammaARMA11 = autocovariance.evaluate(ARMA11);
    assertEquals(PHI[1] - THETA[1] * STD * STD / gammaARMA11[0], rhoARMA11[1], eps);
  }
}
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