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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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Version

Install

install.packages('ltsa')

Monthly Downloads

1,653

Version

1.4.5

License

GPL (>= 2)

Maintainer

A.I. McLeod

Last Published

August 22nd, 2015

Functions in ltsa (1.4.5)

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