Methods to compute linear h-step ahead prediction coefficients based
on localised and iterated Yule-Walker estimates and empirical mean squared
and absolute prediction errors for the resulting predictors. Also, functions
to compute autocovariances for AR(p) processes, to simulate tvARMA(p,q) time
series, and to verify an assumption from Kley et al. (2017),
|Author||Tobias Kley [aut, cre], Philip Preuss [aut], Piotr Fryzlewicz [aut]|
|Date of publication||2017-06-18 17:36:22 UTC|
|Maintainer||Tobias Kley <email@example.com>|
|License||GPL (>= 2)|
|Package repository||View on CRAN|
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