kumulant

kumulant/com.eignex.kumulant.stat.forecast/RecursiveVarianceResult

RecursiveVarianceResult

@Serializable

@SerialName(value = "RecursiveVarianceResult")

data class RecursiveVarianceResult(val variance: Double, val omega: Double, val alpha: Double, val beta: Double) : Result(source)

Snapshot from a RecursiveVarianceStat: the current variance and the recurrence coefficients.

Constructors

RecursiveVarianceResult

constructor(variance: Double, omega: Double, alpha: Double, beta: Double)

Properties

val alpha: Double

Shock coefficient applied to value^2 per update.

val beta: Double

Persistence coefficient applied to the previous variance.

val omega: Double

Long-run baseline term omega.

val variance: Double

Current recursive variance value.

RecursiveVarianceResult

constructor(variance: Double, omega: Double, alpha: Double, beta: Double)(source)

alpha

val alpha: Double(source)

Shock coefficient applied to value^2 per update.

beta

val beta: Double(source)

Persistence coefficient applied to the previous variance.

omega

val omega: Double(source)

Long-run baseline term omega.

variance

val variance: Double(source)

Current recursive variance value.