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ltsa (version 1.4.5)
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
1,236
Version
1.4.5
License
GPL (>= 2)
Maintainer
A.I. McLeod
Last Published
August 22nd, 2015
Functions in ltsa (1.4.5)
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DLSimulate
Simulate linear time series
DLResiduals
Prediction residuals
PredictionVariance
Prediction variance
SimGLP
Simulate GLP given innovations
DLLoglikelihood
Durbin-Levinsion Loglikelihood
TrenchInverse
compute the matrix inverse of a positive-definite Toepliz matrix
DHSimulate
Simulate General Linear Process
TrenchForecast
Minimum Mean Square Forecast
DLAcfToAR
Autocorrelations to AR parameters
ltsa-package
Linear Time Series Analysis
TrenchLoglikelihood
Loglikelihood function of stationary time series using Trench algorithm
exactLoglikelihood
Exact log-likelihood and MLE for variance
tacvfARMA
theoretical autocovariance function (acvf) of ARMA
TrenchMean
Exact MLE for mean given the autocorrelation function
ToeplitzInverseUpdate
Inverse of Toeplitz matrix of order n+1 given inverse of order n
is.toeplitz
test if argument is a symmetric Toeplitz matrix