forecastSNSTS: Forecasting for Stationary and Non-Stationary Time Series
Version 1.2-0

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), Preprint .

Package details

AuthorTobias Kley [aut, cre], Philip Preuss [aut], Piotr Fryzlewicz [aut]
Date of publication2017-06-18 17:36:22 UTC
MaintainerTobias Kley <[email protected]>
LicenseGPL (>= 2)
Version1.2-0
URL http://github.com/tobiaskley/forecastSNSTS
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("forecastSNSTS")

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forecastSNSTS documentation built on June 20, 2017, 9:12 a.m.