Man pages for nickpoison/nltsa
Nonlinear Time Series Analysis

ARCHCreate an autoregressivemodel with ARCH(1) error
ARCH.optimal.logpdfLog-likelihood of ARCH optimal kernel
ARCH.optimal.paramsParameters for ARCH optimal kernel
ARCH.optimal.rndSample from ARCH optimal kernel
arp.mcmcNormal AR(p) MCMC
bi.cohNormalized Bispectrum
CPFSAEMRun a Conditional Particle Stochastic Approximation EM chain
CPFSGgrowthRun a Conditional Particle Stochastic Approximation SG chain
cpf.sisrConditional Particle filter via Sequential Importance...
CVCoefficient of Variation of importance weights
EEGEEG trace.
ESSEffective Sample Size of importance weights if parameters are valid for a Noisy AR model
loclike.logpdfLog-pdf of the local likelihood of a Non linear state space...
loclike.logpdf.NoisyARCompute the local likelihood of a NoisyAR model
metronormMetropolis Normal
MHRun a Metropolis-Hastings chain
MultinomialRMultinomial resampling
nltsa-packageNonlinear Time Series Analysis
NoisyARCreate a Noisy Auto-Regressive(1) NLSS model
normalized.exponentialNormalized exponential of a vector
ParticleEMRun a Particle EM chain
ParticleMarginalMHRun a Particle Marginal Metropolis-Hastings chain
ParticleSAEMRun a Particle Stochastic Approximation EM chain
ParticleSGGrowthRun a Particle Stochastic Gradient for the Growth model
random.walkGaussian Random-walk proposal kernel
simulate.dataSimulation of a dataset for a NLSS
sisSequential Importance Sampling with Prior kernel for 1-D NLSS
siskernelSequential Importance Sampling with arbitrary kernel for 1-D...
sisrParticle filter via Sequential Importance Sampling with...
sp500.grGrowth Rate of the S&P 500
StovolCreate a Stochastic Volatility model
nickpoison/nltsa documentation built on May 23, 2017, 2:45 p.m.