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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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Install
install.packages('ltsa')
Monthly Downloads
1,458
Version
1.3
License
GPL (>= 2)
Maintainer
A.I. McLeod
Last Published
August 15th, 2010
Functions in ltsa (1.3)
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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