Models

DynamicFactorModel <: StateSpaceModel

Constructor for a dynamic factor model instance of the state space model type with hyperparameters Λ and ϕ, error specification, and mean specification.

DynamicNelsonSiegelModel <: StateSpaceModel

Constructor for a dynamic Nelson Siegel model instance of the state space model type with hyperparameters λ, ϕ, and error specifications

NoConstant <: AbstractMeanModel

Constructor for a no constant mean specification instance of the mean model type.

Constant <: AbstractMeanModel

Constructor for a constant mean specification instance of the mean model type, with hyperparameter μ.

Exogeneous <: AbstractMeanModel

Constructor for a exogeneous regressors mean model specification instance of the mean model type, with hyperparameter β and exogenous regressors X.

Independent <: AbstractErrorModel

Constructor for a independent error specification instance of the error model type, with hyperparameters σ and ω.

Idiosyncratic <: AbstractErrorModel

Constructor for a idiosyncratic error specification instance of the error model type, with hyperparameters Σ and Ω.

SpatialErrorModel <: AbstractErrorModel

Constructor for a spatial error model specification instance of the error model type, with hyperparameter ρ, idiosyncratic error specification error, spatial weight matrix W, and group structure groups.

SpatialMovingAverageModel <: AbstractErrorModel

Constructor for a spatial moving average model specification instance of the error model type, with hyperparameter ρ, idiosyncratic error specification error, spatial weight matrix W, and group structure groups.