partialAR: Partial Autoregression

Fits time series models which consist of a sum of a permanent and a transient component.

Author
Matthew Clegg [aut, cre, cph]
Date of publication
2015-02-04 09:11:52
Maintainer
Matthew Clegg <matthewcleggphd@gmail.com>
License
GPL-2 | GPL-3
Version
1.0.5

View on CRAN

Man pages

as.data.frame.par.fit
Convert a fit of the PAR model to a single row data.frame
estimate.par
Estimates the parameters of a partially autoregressive fit...
fit.par
Fit a partially autoregressive model
kalman.gain.par
Kalman gain matrix of the partially autoregressive model
likelihood_ratio.par
Computes log likelihood ratio for partial autoregressive...
loglik.par
Negative log likelihood of a partially autoregressive fit
partialAR-package
Partial autoregression
pvmr.par
Proportion of variance attributable to mean reversion
rpar
Random partially autoregressive sequence
sample.likelihood_ratio.par
Generates random samples of the likelihood ratio for the...
statehistory.par
Estimates hidden states of a partially autoregressive model
test.par
Likelihood ratio test for partially autoregressive model
which.hypothesis.partest
Returns the preferred hypothesis when testing for partial...

Files in this package

partialAR
partialAR/tests
partialAR/tests/tests.R
partialAR/src
partialAR/src/cfit.cc
partialAR/src/RcppExports.cpp
partialAR/NAMESPACE
partialAR/R
partialAR/R/lr.R
partialAR/R/lrdata.R
partialAR/R/fit.R
partialAR/R/RcppExports.R
partialAR/R/lrtables.R
partialAR/R/helper.R
partialAR/R/rand.R
partialAR/README.md
partialAR/MD5
partialAR/DESCRIPTION
partialAR/man
partialAR/man/rpar.Rd
partialAR/man/test.par.Rd
partialAR/man/partialAR-package.Rd
partialAR/man/statehistory.par.Rd
partialAR/man/pvmr.par.Rd
partialAR/man/as.data.frame.par.fit.Rd
partialAR/man/loglik.par.Rd
partialAR/man/fit.par.Rd
partialAR/man/estimate.par.Rd
partialAR/man/likelihood_ratio.par.Rd
partialAR/man/kalman.gain.par.Rd
partialAR/man/which.hypothesis.partest.Rd
partialAR/man/sample.likelihood_ratio.par.Rd