pcts: Periodically Correlated and Periodically Integrated Time Series

Classes and methods for modelling and simulation of periodically correlated (PC) and periodically integrated time series. Compute theoretical periodic autocovariances and related properties of PC autoregressive moving average models. Some original methods including Boshnakov & Iqelan (2009) <doi:10.1111/j.1467-9892.2009.00617.x>, Boshnakov (1996) <doi:10.1111/j.1467-9892.1996.tb00281.x>.

Package details

AuthorGeorgi N. Boshnakov [aut, cre]
MaintainerGeorgi N. Boshnakov <georgi.boshnakov@manchester.ac.uk>
LicenseGPL (>= 2)
URL https://geobosh.github.io/pcts/ (doc) https://github.com/GeoBosh/pcts/ (devel)
Package repositoryView on CRAN
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pcts documentation built on Nov. 25, 2023, 5:07 p.m.