Time series analysis commonly investigates how movements of prices and other variables can be explained by historic values. Similarly, multivariate time series analysis studies how different time series influence each other. This package implements methods for studying a panel of unrelated time series -- we refer to it as "grouped" time series. Possible applications stem from panel observations of time series (e.g. from different participants in experiments) or from time series with breaks (e.g. from missing values). The following models are adapted: (1) ARMA, (2) GARCH.
|Author||Michael Hörner [aut, cre], Stefan Feuerriegel [aut]|
|Maintainer||Michael Hörner <[email protected]>|
|License||MIT + file LICENSE|
|Package repository||View on GitHub|
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