partialAR: Partial Autoregression
Version 1.0.10

A time series is said to be partially autoregressive if it can be represented as a sum of a random walk and an autoregressive sequence without unit roots. This package fits partially autoregressive time series, where the autoregressive component is AR(1). This may be of use in modeling certain financial time series.

Browse man pages Browse package API and functions Browse package files

AuthorMatthew Clegg [aut, cre, cph]
Date of publication2017-04-18 05:29:11 UTC
MaintainerMatthew Clegg <matthewcleggphd@gmail.com>
LicenseGPL-2 | GPL-3
Version1.0.10
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("partialAR")

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...

Functions

as.data.frame.internal.par.fit Source code
as.data.frame.par.fit Man page Source code
build_par_tables Source code
ctext Source code
dump.lrtables Source code
estimate.par Man page Source code
estimate.rho.par Source code
estimate.sigma.par Source code
estimate_par_c Source code
estimate_rho_par_c Source code
fit.par Man page Source code
fit.par.both Source code
fit.par.mr Source code
fit.par.rw Source code
kalman.gain.from.pvmr Source code
kalman.gain.par Man page Source code
kalman_gain_par_mr Source code
lagged_variance_c Source code
likelihood_ratio.par Man page Source code
llst Source code
load.lrtables Source code
load_table Source code
loglik.par Man page Source code
loglik.par.fkf Source code
loglik.par.ss Source code
loglik.par.ss.t Source code
loglik_par_c Source code
loglik_par_t_c Source code
par.find.joint.critical.values Source code
par.findall.joint.critical.values Source code
par.generate.likelihood_ratio.samples Source code
par.joint.dist Source code
par.joint.pvalue Source code
par.load.likelihood_ratio.samples Source code
par.mr.pvalue Source code
par.nu.default Source code
par.plot.lrt.vs.kpss Source code
par.plot.power Source code
par.plot.power.pvmr Source code
par.powersamples.pvmr.table Source code
par.powersamples.table Source code
par.rho.cutoff Source code
par.rw.pvalue Source code
partialAR Man page
partialAR-package Man page
plot.internal.par.fit Source code
plot.par.fit Source code
plot.par.likelihood.neighborhood Source code
plot.par.likelihood.neighborhood.3d Source code
print.internal.par.fit Source code
print.par.fit Source code
print.par.kpss.mr Source code
print.par.lrt Source code
print.par.lrt.mr Source code
print.par.lrt.quantile_quadrants Source code
print.par.lrt.rw Source code
print.partest Source code
print.partest.internal Source code
printf Source code
println Source code
pvmr.par Man page Source code
pvmr_par_c Source code
quantile.table.from.samples Source code
quantile_table_interpolate Source code
rpar Man page Source code
sample.likelihood_ratio.par Man page Source code
statehistory.par Man page Source code
test.par Man page Source code
test.par.nullmr Source code
test.par.nullrw Source code
vprintf Source code
vprintln Source code
which.hypothesis.partest Man page Source code

Files

tests
tests/tests.R
src
src/registerDynamicSymbol.c
src/cfit.cc
src/RcppExports.cpp
NAMESPACE
R
R/lr.R
R/lrdata.R
R/fit.R
R/RcppExports.R
R/lrtables.R
R/helper.R
R/rand.R
README.md
MD5
DESCRIPTION
man
man/rpar.Rd
man/test.par.Rd
man/partialAR-package.Rd
man/statehistory.par.Rd
man/pvmr.par.Rd
man/as.data.frame.par.fit.Rd
man/loglik.par.Rd
man/fit.par.Rd
man/estimate.par.Rd
man/likelihood_ratio.par.Rd
man/kalman.gain.par.Rd
man/which.hypothesis.partest.Rd
man/sample.likelihood_ratio.par.Rd
partialAR documentation built on May 19, 2017, 5:25 p.m.