I see that there is a class called CointegrationMLE in the suanshu library. I’m assuming this does the cointegration between >=2 time series, and generates the cointegrating coefficients.
1) To confirm, the “.eigenvalues()” generates the vector of coefficients?
2) How do you enter the entire array of say, 2 sets of 500 time series data points into the CointegrationMLE? I’m using “SimpleMultiVariateTimeSeries” to generate the inputs into the former, but this requires me to have 500 double arrays of size 2 at the construction stage. I see that it allows Matrix inputs as well, but I’ve never used this before. If this is the correct way, could you provide a simple outline of the code to enter a these 2 sets of 500 time series points using Matrix?