forecastSNSTS: Forecasting for Stationary and Non-Stationary Time Series

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Methods to compute linear h-step ahead prediction coefficients based on localised and iterated Yule-Walker estimates and empirical mean squared 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 a paper by the authors.

Author
Tobias Kley [aut, cre], Philip Preuss [aut], Piotr Fryzlewicz [aut]
Date of publication
2016-11-17 18:07:28
Maintainer
Tobias Kley <t.kley@lse.ac.uk>
License
GPL (>= 2)
Version
1.1-0
URLs

View on CRAN

Man pages

acfARp
Compute autocovariances of an AR(p) process
f
Compute f(delta) for a tvAR(p) process
forecastSNSTS-package
Forecasting of Stationary and Non-Stationary Time Series
MSPE
Mean squared h-step ahead prediction errors
plot.MSPE
Plot a 'MSPE' object
predCoef
h-step Prediction coefficients
ts-models-tvARMA
Simulation of an tvARMA(p) time series.

Files in this package

forecastSNSTS
forecastSNSTS/inst
forecastSNSTS/inst/examples
forecastSNSTS/inst/examples/mspe.R
forecastSNSTS/inst/examples/computeMSPE.R
forecastSNSTS/inst/examples/tvARMA.R
forecastSNSTS/tests
forecastSNSTS/tests/testthat.R
forecastSNSTS/tests/testthat
forecastSNSTS/tests/testthat/test-tvARMA.R
forecastSNSTS/tests/testthat/test-MSPE.R
forecastSNSTS/tests/testthat/test-computeMSPE.R
forecastSNSTS/tests/testthat/test-f.R
forecastSNSTS/tests/testthat/test-acfARp.R
forecastSNSTS/tests/testthat/test-coefficients.R
forecastSNSTS/src
forecastSNSTS/src/computeMSPE.cpp
forecastSNSTS/src/predCoef.cpp
forecastSNSTS/src/tvARMA.cpp
forecastSNSTS/src/RcppExports.cpp
forecastSNSTS/NAMESPACE
forecastSNSTS/demo
forecastSNSTS/demo/tvARMA11.R
forecastSNSTS/demo/00Index
forecastSNSTS/NEWS
forecastSNSTS/R
forecastSNSTS/R/models.R
forecastSNSTS/R/acfARp.R
forecastSNSTS/R/forecastSNSTS-package.R
forecastSNSTS/R/mspe.R
forecastSNSTS/R/RcppExports.R
forecastSNSTS/R/f.R
forecastSNSTS/MD5
forecastSNSTS/DESCRIPTION
forecastSNSTS/man
forecastSNSTS/man/MSPE.Rd
forecastSNSTS/man/forecastSNSTS-package.Rd
forecastSNSTS/man/ts-models-tvARMA.Rd
forecastSNSTS/man/predCoef.Rd
forecastSNSTS/man/plot.MSPE.Rd
forecastSNSTS/man/acfARp.Rd
forecastSNSTS/man/f.Rd