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perARMA (version 1.7)

Periodic Time Series Analysis

Description

Identification, model fitting and estimation for time series with periodic structure. Additionally, procedures for simulation of periodic processes and real data sets are included. Hurd, H. L., Miamee, A. G. (2007) Box, G. E. P., Jenkins, G. M., Reinsel, G. (1994) Brockwell, P. J., Davis, R. A. (1991, ISBN:978-1-4419-0319-8) Bretz, F., Hothorn, T., Westfall, P. (2010, ISBN: 9780429139543) Westfall, P. H., Young, S. S. (1993, ISBN:978-0-471-55761-6) Bloomfield, P., Hurd, H. L.,Lund, R. (1994) Dehay, D., Hurd, H. L. (1994, ISBN:0-7803-1023-3) Vecchia, A. (1985) Vecchia, A. (1985) Jones, R., Brelsford, W. (1967) Makagon, A. (1999) Sakai, H. (1989) Gladyshev, E. G. (1961) Ansley (1979) Hurd, H. L., Gerr, N. L. (1991) .

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Version

Install

install.packages('perARMA')

Monthly Downloads

189

Version

1.7

License

GPL (>= 2.0)

Maintainer

Karolina Marek

Last Published

November 17th, 2023

Functions in perARMA (1.7)

peracf

Periodic ACF function
predictperYW

Prediction for PAR model
parmaresid

Computing residuals of PARMA series
parmafil

PARMA filtration
persigest

Periodic standard deviations
perARMA-package

Periodic Time Series Analysis and Modeling
perYW

Yule-Walker estimators of PAR model
scoh

Plotting the squared coherence statistic of time series
pgram

Plotting the periodogram of time series
perpacf

Periodic PACF function
volumes

Volumes of energy, Nord Pool Spot Exchange
permest

Periodic Mean Estimation
volumes.sep

Volumes of energy, Nord Pool Spot Exchange, from 1st and 2nd September 2010.
Bcoeff, Bcoeffa

Fourier representation of covariance function
ab2phth

Fourier representation of real matrix
parma_ident

Identification of PC-T structure
arosa

Monthly stratospheric ozone, Arosa
parmaf

PARMA coefficients estimation
makeparma

Simulation of PARMA sequence
loglikef

Calculation of the logarithm of likelihood function (using Fourier representation)
R_w_ma

Covariance matrix for PARMA model (conditional)
acfpacf

Plotting usual ACF and PACF
loglikec

Calculation of the logarithm of likelihood function