partialAR v1.0.3
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Partial Autoregression
Fits time series models which consist of a sum of a permanent and a transient component.
Functions in partialAR
| Name | Description | |
| 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 | |
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Details
| Type | Package |
| Date | 2015-01-12 |
| License | GPL-2 | GPL-3 |
| LinkingTo | Rcpp |
| Packaged | 2015-01-28 22:43:42 UTC; matthewclegg |
| NeedsCompilation | yes |
| Repository | CRAN |
| Date/Publication | 2015-01-29 00:25:11 |
| imports | data , data.table , FKF , ggplot2 , grid , MASS , parallel , plot3D , Rcpp (>= 0.11.2) , tseries , urca , zoo |
| suggests | egcm , TTR |
| Contributors | Matthew Clegg |
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[](http://www.rdocumentation.org/packages/partialAR)