ltsa: Linear Time Series Analysis

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Methods of developing linear time series modelling. Methods are given for loglikelihood computation, forecasting and simulation.

Author
A.I. McLeod, Hao Yu, Zinovi Krougly
Date of publication
2015-12-21 08:55:04
Maintainer
A.I. McLeod <aimcleod@uwo.ca>
License
GPL (>= 2)
Version
1.4.6
URLs

View on CRAN

Man pages

DHSimulate
Simulate General Linear Process
DLAcfToAR
Autocorrelations to AR parameters
DLLoglikelihood
Durbin-Levinsion Loglikelihood
DLResiduals
Prediction residuals
DLSimulate
Simulate linear time series
exactLoglikelihood
Exact log-likelihood and MLE for variance
innovationVariance
Nonparametric estimate of the innovation variance
is.toeplitz
test if argument is a symmetric Toeplitz matrix
ltsa-package
Linear Time Series Analysis
PredictionVariance
Prediction variance
SimGLP
Simulate GLP given innovations
tacvfARMA
theoretical autocovariance function (acvf) of ARMA
ToeplitzInverseUpdate
Inverse of Toeplitz matrix of order n+1 given inverse of...
TrenchForecast
Minimum Mean Square Forecast
TrenchInverse
compute the matrix inverse of a positive-definite Toepliz...
TrenchLoglikelihood
Loglikelihood function of stationary time series using Trench...
TrenchMean
Exact MLE for mean given the autocorrelation function

Files in this package

ltsa
ltsa/inst
ltsa/inst/CITATION
ltsa/inst/doc
ltsa/inst/doc/index.html
ltsa/inst/doc/v23i05_table14.R
ltsa/inst/doc/index_files
ltsa/inst/doc/index_files/themedata.thmx
ltsa/inst/doc/index_files/preview.wmf
ltsa/inst/doc/index_files/colorschememapping.xml
ltsa/inst/doc/index_files/filelist.xml
ltsa/inst/doc/v23i05.pdf
ltsa/inst/doc/v23i05_table12.R
ltsa/inst/doc/v23i05_table15b.R
ltsa/inst/doc/v23i05_table15a.R
ltsa/src
ltsa/src/trenchQF.c
ltsa/src/vecmat.c
ltsa/src/nrutil.h
ltsa/src/DLSim.c
ltsa/src/trenchInv.c
ltsa/src/fromWedgeStorage.c
ltsa/src/trenchR.c
ltsa/src/durlev.c
ltsa/src/upperWedge.c
ltsa/src/DLar.c
ltsa/src/nrutil.c
ltsa/src/trenchDet.c
ltsa/src/DLResid.c
ltsa/src/trenchR.h
ltsa/NAMESPACE
ltsa/NEWS
ltsa/R
ltsa/R/PredictionVariance.R
ltsa/R/DLAcfToAR.R
ltsa/R/TrenchLoglikelihood.R
ltsa/R/is.toeplitz.R
ltsa/R/DLLoglikelihood.R
ltsa/R/DLSimulate.R
ltsa/R/DHSimulate.R
ltsa/R/innovationVariance.R
ltsa/R/SimGLP.r
ltsa/R/ltsa-internal.R
ltsa/R/exactLoglikelihood.R
ltsa/R/TrenchInverse.R
ltsa/R/DLResiduals.R
ltsa/R/ToeplitzInverseUpdate.R
ltsa/R/TrenchForecast.R
ltsa/R/TrenchMean.R
ltsa/R/tacvfARMA.R
ltsa/MD5
ltsa/DESCRIPTION
ltsa/man
ltsa/man/DLResiduals.Rd
ltsa/man/TrenchLoglikelihood.Rd
ltsa/man/tacvfARMA.Rd
ltsa/man/ltsa-package.Rd
ltsa/man/DLAcfToAR.Rd
ltsa/man/SimGLP.Rd
ltsa/man/is.toeplitz.Rd
ltsa/man/innovationVariance.Rd
ltsa/man/TrenchForecast.Rd
ltsa/man/DLLoglikelihood.Rd
ltsa/man/ToeplitzInverseUpdate.Rd
ltsa/man/TrenchMean.Rd
ltsa/man/TrenchInverse.Rd
ltsa/man/DHSimulate.Rd
ltsa/man/DLSimulate.Rd
ltsa/man/exactLoglikelihood.Rd
ltsa/man/PredictionVariance.Rd