RiskTSIntegrate

Description

RiskTSIntegrate(integration order, C1, C2) specifies that a time series function will have the specified integration applied to the process result..

The integration order is the number of integrations to apply. C1 is the first starting constant and C2 is the second starting constant.

Examples

RiskGBM(0.2, 0,05, RiskTSIntegrate(2,10,15)) will apply a second-order integration to the time series process using 10 as the first constant and 15 for second constant.

Guidelines

The RiskTSIntegrate property function is automatically added to fitted time series functions if the original data was transformed using Detrending.

The integration order is specified as a value between 0 and 2, where. 0=None, 1= First order, and 2=Second order.

The C1 parameter is the first constant to be added, and C2 is the second constant to be added.