Class FitAcfProblem

Hierarchy

LeastSquareProblem
- FitAcfProblem

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new FitAcfProblem(A2: Real, acf: Real[], idx: Size[]): FitAcfProblem

- Defined in ql/models/volatility/garch.ts:506
Parameters
- A2: Real
- acf: Real[]
- idx: Size[]
Returns FitAcfProblem

Properties

Private _A2

_A2: Real

Private _acf

_acf: Real[]

Private _idx

_idx: Size[]

Methods

size

size(): Size

Overrides LeastSquareProblem.size
- Defined in ql/models/volatility/garch.ts:514
Returns Size

targetAndValue

targetAndValue(x: Real[], target: Real[], fct2fit: Real[]): void

Overrides LeastSquareProblem.targetAndValue
- Defined in ql/models/volatility/garch.ts:518
Parameters
- x: Real[]
- target: Real[]
- fct2fit: Real[]
Returns void

targetValueAndGradient

targetValueAndGradient(x: Real[], grad_fct2fit: Matrix, target: Real[], fct2fit: Real[]): void

Overrides LeastSquareProblem.targetValueAndGradient
- Defined in ql/models/volatility/garch.ts:533
Parameters
- x: Real[]
- grad_fct2fit: Matrix
- target: Real[]
- fct2fit: Real[]
Returns void