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ltsa (version 1.4.4)
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
1,147
Version
1.4.4
License
GPL (>= 2)
Maintainer
A.I. McLeod
Last Published
December 14th, 2012
Functions in ltsa (1.4.4)
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TrenchInverse
compute the matrix inverse of a positive-definite Toepliz matrix
tacvfARMA
theoretical autocovariance function (acvf) of ARMA
DHSimulate
Simulate General Linear Process
TrenchForecast
Minimum Mean Square Forecast
ltsa-package
Linear time series analysis
SimGLP
Simulate GLP given innovations
ToeplitzInverseUpdate
Inverse of Toeplitz matrix of order n+1 given inverse of order n
is.toeplitz
test if argument is a symmetric Toeplitz matrix
PredictionVariance
Prediction variance
TrenchLoglikelihood
Loglikelihood function of stationary time series using Trench algorithm
TrenchMean
Exact MLE for mean given the autocorrelation function
DLAcfToAR
Autocorrelations to AR parameters
DLLoglikelihood
Durbin-Levinsion Loglikelihood
DLResiduals
Prediction residuals
DLSimulate
Simulate linear time series