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partialAR (version 1.0.3)
Partial Autoregression
Description
Fits time series models which consist of a sum of a permanent and a transient component.
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1.0.3
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Install
install.packages('partialAR')
Monthly Downloads
40
Version
1.0.3
License
GPL-2 | GPL-3
Maintainer
Matthew Clegg
Last Published
January 28th, 2015
Functions in partialAR (1.0.3)
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kalman.gain.par
Kalman gain matrix of the partially autoregressive model
loglik.par
Negative log likelihood of a partially autoregressive fit
rpar
Random partially autoregressive sequence
sample.likelihood_ratio.par
Generates random samples of the likelihood ratio for the partially autoregressive model
statehistory.par
Estimates hidden states of a partially autoregressive model
partialAR-package
Partial autoregression
as.data.frame.par.fit
Convert a fit of the PAR model to a single row data.frame
fit.par
Fit a partially autoregressive model
test.par
Likelihood ratio test for partially autoregressive model
estimate.par
Estimates the parameters of a partially autoregressive fit using lagged variances
likelihood_ratio.par
Computes log likelihood ratio for partial autoregressive model
which.hypothesis.partest
Returns the preferred hypothesis when testing for partial autoregression
pvmr.par
Proportion of variance attributable to mean reversion