Extreme.Statistics.TimeSeriesAnalysis Namespace

The Extreme.Statistics.TimeSeriesAnalysis namespace contains classes for working with time series data.

Classes

ArimaModel Represents an AutoRegressive Integrated Moving Average (ARIMA) model.
AugmentedDickeyFullerTest Represents an Augmented Dickey-Fuller (ADF) test for the presence of a unit root.
ExponentialSmoothingModel Represents a model that implements exponential smoothing.
GarchModel Represents a "Generalized Autoregressive Conditional Heteroskedasticity" (GARCH) model.
TimeSeriesFunctions Contains functions useful for the analysis of time series.
TimeSeriesModel<T> Represents a time-series model.

Enumerations

DickeyFullerTestType Enumerates the types of regression used in the (Augmented) Dickey-Fuller Test.
ExponentialSmoothingMethod Enumerates the methods for computing an exponential smoothing model.
ExponentialSmoothingTrendEstimator Enumerates the ways in which the initial value for the trend is estimated.
GarchInnovationDistribution Enumerates the possible distributions for the innovations process in a GARCH model.