Definition of an ARMA(1,1)
Create an Autoregressive P [AR(P)] Process
Akaike's Information Criterion
Definition of an Autoregressive Process of Order 1
Create an Autoregressive Integrated Moving Average (ARIMA) Process
Converting an ARMA Process to an Infinite MA Process
Create an Drift (DR) Process
Create an Autoregressive Moving Average (ARMA) Process
Compute Theoretical ACF for an ARMA Process
B Matrix
Definition of a Fractional Gaussian Noise (FGN) Process
Analytic D matrix of Processes
Create a Gauss-Markov (GM) Process
Create an Moving Average Q [MA(Q)] Process
Definition of a Mean deterministic vector returned by the matrix by vector product of matrix \(X\) and vector \(\beta\)
Definition of an Moving Average Process of Order 1
Median Absolute Prediction Error
Definition of a Matérn Process
Ma function.
Ma vectorized function.
Create an Quantisation Noise (QN) Process
Function to Compute Direction Random Walk Moves
Create a Seasonal Autoregressive Moving Average (SARMA) Process
Create a Seasonal Autoregressive Integrated Moving Average (SARIMA) Process
Create an Random Walk (RW) Process
ARMA Adapter to ARMA to WV Process function
Definition of a Power Law Process
ARMA process to WV
Absolute Value or Modulus of a Complex Number.
Randomly guess starting parameters for ARMA
ARMA process to WV Approximation
Create an White Noise (WN) Process
Randomly guess starting parameters for AR1
Select the Best Model
Definition of a Sinusoidal (SIN) Process
Helper Function for ARMA to WV Approximation
bl20 filter construction
Empirical ACF and PACF
Bootstrap for Everything!
Hook into R's ARIMA function
Generate the Confidence Interval for GOF Bootstrapped
Find the auto imu result
Transform AR1 to GM
Quarterly Increase in Stocks Non-Farm Total, Australia
Optim loses NaN
bl14 filter construction
Generate a Confidence intervval for a Univariate Time Series
Correlation Analysis Functions
Count Models
Computes the (MODWT) wavelet covariance matrix
Computes the MO/DWT wavelet variance for multiple processes
Generate eta3 confidence interval
Bootstrap for Matrix V
Generate eta3 robust confidence interval
Analytic D matrix for AR(1) process
Diagnostics on Fitted Time Series Model
d16 filter construction
d4 filter construction
Build List of Unique Models
d8 filter construction
Time Series Convolution Filters
d6 filter construction
Calculate the Psi matrix
Analytic second derivative matrix for drift process
Analytic D matrix for ARMA(1,1) process
Analytic second derivative for MA(1) process
Analytic second derivative matrix for AR(1) process
Analytic D matrix for Quantization Noise (QN) Process
Analytic D matrix Random Walk (RW) Process
Each Models Process Decomposed to WV
Decomposed WV to Single WV
Analytic D matrix for ARMA(1,1) process
Fit a Time Series Model to Data
Create a ts.model from desc string
AR(1) process to WV
Diagnostic Plot of Residuals
ARMA(1,1) to WV
Discrete Wavelet Transform
Discrete Fourier Transformation for Autocovariance Function
Portmanteau Tests
Simulate a simts TS object using a theoretical model
Generate a Latent Time Series Object Based on a Model
Format the Confidence Interval for Estimates
Root Finding C++
Expected value DR
Transform an Armadillo field<vec> to a matrix
Root Finding C++
Computes the (MODWT) wavelet covariance matrix using Chi-square confidence interval bounds
Generate a Fractional Gaussian noise given \(\sigma^2\) and \(H\).
Generate Generic Seasonal Autoregressive Order P - Moving Average Order Q (SARMA(p,q)x(P,Q)) Model
Generate an Autoregressive Order 1 ( AR(1) ) sequence
Evalute a time series or a list of time series models
Generate Bias-Instability Process
Generate Non-Stationary White Noise Process
Generate a Drift Process
Generate Time Series based on Model (Internal)
Find the Common Denominator of the Models
Box-Pierce
Generate a Power Law Process given \(\sigma^2\) and \(d\).
Generate a Quantisation Noise (QN) or Rounding Error Sequence
Generate a Random Walk without Drift
Generate Seasonal Autoregressive Order P - Moving Average Order Q (SARMA(p,q)x(P,Q)) Model
Generate Seasonal Autoregressive Order P - Moving Average Order Q (SARMA(p,q)x(P,Q)) Model
Generate a Sinusoidal Process given \(\alpha^2\) and \(\beta\).
Removal of Boundary Wavelet Coefficients
Compute the Bootstrapped GoF Test
Comparison of Classical and Robust Correlation Analysis Functions
Analytic D matrix for MA(1) process
GM Conversion
Custom legend function
fk14 filter construction
Analytic D matrix for Drift (DR) Process
Ljung-Box
Pulls the IMU time from the IMU object
Transform GM to AR1
Check Invertibility Conditions
Retrieve GMWM starting value from Yannick's objective function
Compute the GOF Test
Update Wrapper for the GMWM Estimator
Internal IMU Object Construction
Generate a Gaussian White Noise Process (WN(\(\sigma ^2\)))
Create a simts TS object using time series data
Bootstrap for Estimating Both Theta and Theta SD
Combine math expressions
Mean Monthly Precipitation, from 1907 to 1972
Integer Check
Bootstrap for Standard Deviations of Theta Estimates
Is simts Object
Discrete Intergral: Inverse Difference
Extract Object
Logit Inverse Function
Lagged Differences in Armadillo
la20 filter construction
Generate Autoregressive Order \(p\) - Moving Average Order \(q\) (ARMA(\(p\),\(q\))) Model
mb16 filter construction
fk8 filter construction
Generate the ts model object's theta vector
Indirect Inference for ARMA
Generate an ARMA(1,1) sequence
Model Score
Generate Latent Time Series based on Model (Internal)
Logit2 Inverse Function
mb24 filter construction
la8 filter construction
Time of a gts object
Generate an Moving Average Order 1 (MA(1)) Process
fk6 filter construction
Generalized Method of Wavelet Moments (GMWM)
Moving Average Order 1 (MA(1)) to WV
Engine for obtaining the GMWM Estimator
Default utility function for various plots titles
Pseudo Logit Inverse Function
Plot Time Series Forecast Function
Analytic D matrix of Processes
Analytic D Matrix for a Gaussian White Noise (WN) Process
Plot Auto-Covariance and Correlation Functions
Drift to WV
Generate AR(1) Block Process
Time Series Recursive Filters
GMWM for Robust/Classical Comparison
Generate a Latent Time Series Object from Data
Add ts.model objects together
fk4 filter construction
GMWM for (Robust) Inertial Measurement Units (IMUs)
Print simts Objects
Read an IMU Binary File into R
Quadrature Mirror Filter
Plot the Distribution of (Standardized) Residuals
Master Wrapper for the GMWM Estimator
Create an IMU Object
fk22 filter construction
Logit2 Function
Subset an IMU Object
Plot the GMWM with the Wavelet Variance
Plot Latent Time Series Object
Reverse Armadillo Vector
Select the Wavelet Filter
Accumulation of Armadillo field<vec>
MLR in Armadillo
Logit Function
Second moment DR
Obtain the value of an object's properties
Truncated Normal Distribution Sampling Algorithm
Pseudo Logit Function
Bootstrap standard error for the median
Efficient way to merge items together
Generate a determinist vector returned by the matrix by vector product of matrix \(X\) and vector \(\beta\).
Indirect Inference for ARMA
(Internal) Expand the SARMA Parameters
Plot Partial Auto-Covariance and Correlation Functions
Generate a Matern Process given \(\sigma^2\), \(\lambda\) and \(\alpha\).
Update (Robust) GMWM object for IMU or SSM
Update the Attributes of Objects
Update Object Attribute
Plot simts Time Series Data
Generate Autoregressive Order p, Integrated d, Moving Average Order q (ARIMA(p,d,q)) Model
Retrieve GMWM starting value from Yannick's objective function
Generate a sequence of values based on supplied number
Time Series Prediction
Set the RNG Seed from within Rcpp
Predict future points in the time series using the solution of the
Generalized Method of Wavelet Moments
Auto-Covariance and Correlation Functions
mb4 filter construction
Linear Regression with Drift
Order AR1s by size of phi.
Routing function for summary info
Replicate a Vector of Elements \(n\) times
Generate a sequence of values
Bootstrap for Optimism and GoF
Generate the ts model object description
Haar filter construction
Randomly guess a starting parameter
Random Walk to WV
Order the Model
mb8 filter construction
Bootstrap for Optimism
Determine parameter expansion based upon objdesc
Reverse Subset Column
Obtain the value of an object's properties
Calculates Length of Seasonal Padding
Reverse Subset Row
la16 filter construction
Print gmwm object
Generate the ts model object's process desc
Randomly guess a starting parameter
Calculates the Jacobian for the ARMA process
Print fitsimts object
Mean of the First Difference of the Data
Quantisation Noise (QN) to WV
Maximum Overlap Discrete Wavelet Transform
Obtain the smallest polynomial root
Theoretical Autocorrelation (ACF) of an ARMA process
Revert Transform Values for Display
Theoretical Partial Autocorrelation (PACF) of an ARMA process
Sort Matrix by Column
Find Quantiles
simts: Time Series Analysis Tools
Convert Unit of Time Series Data
Multiple a ts.model by constant
Print summary.gmwm object
Transform Values for Optimization
Computes the (MODWT) wavelet variance
Multiply a ts.model by constant
Find the Rank Models result
w4 filter construction
Generate a Wave Variance for a Univariate Time Series
Read an IMU Binary File into R
Time Series Model Selection
Run Model Selection Criteria on ARIMA Models
Computes the MODWT scales
Expand Parameters for an SARMA object
Personal Saving Rate
Simplify and print SARIMA model
Basic Diagnostic Plot of Residuals
Generate the Confidence Interval for Theta Estimates
Model Process to WV
Gaussian White Noise to WV
Computes the (MODWT) wavelet variance
Summary of fitsimts object
Summary of GMWM object
Variance DR
Conversion function of Vector to Set