Timeseries#

AR(name, rho, *args[, steps, constant, ar_order])

Autoregressive process with p lags.

GaussianRandomWalk(name, *args, **kwargs)

Random Walk with Normal innovations.

GARCH11(*args[, steps])

GARCH(1,1) with Normal innovations.

EulerMaruyama(name, dt, sde_fn, *args[, steps])

Stochastic differential equation discretized with the Euler-Maruyama method.

MvGaussianRandomWalk(name, *args, **kwargs)

Random Walk with Multivariate Normal innovations

MvStudentTRandomWalk(name, *args, **kwargs)

Multivariate Random Walk with StudentT innovations