Methods to compute linear hstep ahead prediction coefficients based on localised and iterated YuleWalker estimates and empirical mean squared and absolute prediction errors for the resulting predictors. Also, functions to compute autocovariances for AR(p) processes, to simulate tvARMA(p,q) time series, and to verify an assumption from Kley et al. (2017), Preprint <http://personal.lse.ac.uk/kley/forecastSNSTS.pdf>.
Package details 


Maintainer  
License  GPL (>= 2) 
Version  1.20.9000 
URL  http://github.com/tobiaskley/forecastSNSTS 
Package repository  View on GitHub 
Installation 
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