Package net.finmath.timeseries

package net.finmath.timeseries

Provides classes related to time series modeling and estimation, e.g. maximum likelihood estimation of GARCH models. Contains some aspects of estimating risk distribution from historical changes.

Author:

Christian Fries

Interface Summary

Interface	Description
HistoricalSimulationModel	A parametric time series model based on a given times series.
TimeSeries	Interface to be implemented by finite time series.
TimeSeriesModelParametric	A parametric time series model

Class Summary

Class	Description
MarketData	A set of raw data associated with a given date.
TimeSeriesFromArray	A discrete time series.
TimeSeriesView	A time series created from a sup-interval of another time series.