tsdecomp (version 0.2)

Decomposition of Time Series Data

Description

ARIMA-model-based decomposition of quarterly and monthly time series data. The methodology is developed and described, among others, in Burman (1980) and Hillmer and Tiao (1982) .

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Version

Install

install.packages('tsdecomp')

Monthly Downloads

165

Version

0.2

License

GPL-2

Maintainer

Javier López-de-Lacalle

Last Published

January 4th, 2017

Functions in tsdecomp (0.2)

ARIMAdec

ARIMA-Model-Based Decomposition of Time Series

compare.acf

Compare ACF of Theoretical, Estimator and Empirical Component

acgf2poly

Change of Variable in the AutoCovariance Generating Function

canonical.decomposition

Canonical Decomposition

plot.tsdecFilter

Plot Method for tsdecFilter Objects

filtering

Double-Sided Symmetric Linear Filter

acov2ma

Convert Autocovariances to Coefficients of a Moving Average

ARMAacov

Compute Theoretical Autocovariances of an ARMA Model

partial.fraction

Partial Fraction Decomposition

polyeval

Polynomial Operations and Utilities

roots.allocation

Allocation of Autoregressive Roots

pseudo.spectrum

Pseudo-Spectrum of an ARIMA Model

tsdecomp-package

ARIMA-Model-Based Decomposition of Time Series Data