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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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Install

install.packages('partialAR')

Monthly Downloads

21

Version

1.0.3

License

GPL-2 | GPL-3

Maintainer

Matthew Clegg

Last Published

January 28th, 2015

Functions in partialAR (1.0.3)

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