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 <http://personal.lse.ac.uk/kley/forecastSNSTS.pdf>.
|Author||Tobias Kley [aut, cre], Philip Preuss [aut], Piotr Fryzlewicz [aut]|
|Maintainer||Tobias Kley <[email protected]>|
|License||GPL (>= 2)|
|Package repository||View on CRAN|
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