MichaelHoerner/groupedtseries: Analysis of grouped time series

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.

Getting started

Package details

AuthorMichael Hörner [aut, cre], Stefan Feuerriegel [aut]
MaintainerMichael Hörner <[email protected]>
LicenseMIT + file LICENSE
URL https://github.com/MichaelHoerner/groupedtseries
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
MichaelHoerner/groupedtseries documentation built on Aug. 22, 2017, 9:20 p.m.