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ltsa (version 1.3)

Linear time series analysis

Description

Methods of developing linear time series modelling. Methods are given for loglikelihood computation, forecasting and simulation.

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Version

Install

install.packages('ltsa')

Monthly Downloads

1,653

Version

1.3

License

GPL (>= 2)

Maintainer

A.I. McLeod

Last Published

August 15th, 2010

Functions in ltsa (1.3)

DLAcfToAR

Autocorrelations to AR parameters
ltsa-package

Linear time series analysis
DLResiduals

Prediction residuals
DLSimulate

Simulate linear time series
TrenchForecast

Minimum Mean Square Forecast
is.toeplitz

test if argument is a symmetric Toeplitz matrix
PredictionVariance

Prediction variance
DHSimulate

Simulate General Linear Process
TrenchMean

Exact MLE for mean given the autocorrelation function
DLLoglikelihood

Durbin-Levinsion Loglikelihood
TrenchLoglikelihood

Loglikelihood function of stationary time series using Trench algorithm
TrenchInverse

compute the matrix inverse of a positive-definite Toepliz matrix
SimGLP

Simulate GLP given innovations
tacvfARMA

theoretical autocovariance function (acvf) of ARMA
ToeplitzInverseUpdate

Inverse of Toeplitz matrix of order n+1 given inverse of order n