Timeseries#

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

Autoregressive process with p lags.

GaussianRandomWalk(name[, mu, sigma, ...])

Random Walk with Normal innovations.

GARCH11(*args[, steps])

GARCH(1,1) with Normal innovations.

EulerMaruyama(*args, **kwargs)

Stochastic differential equation discretized with the Euler-Maruyama method.

MvGaussianRandomWalk(*args, **kwargs)

Multivariate Random Walk with Normal innovations

MvStudentTRandomWalk(*args, **kwargs)

Multivariate Random Walk with StudentT innovations