Time Series Analysis Using the Innovations Algorithm

[Up] [Top]

Documentation for package ‘itsmr’ version 1.11

Help Pages

itsmr-package Time Series Analysis Using the Innovations Algorithm
aacvf Autocovariance of ARMA model
acvf Autocovariance of data
airpass Number of international airline passengers, 1949 to 1960
ar.inf Compute AR infinity coefficients
arar Forecast using ARAR algorithm
arma Estimate ARMA model coefficients using maximum likelihood
autofit Find the best model from a range of possible ARMA models
burg Estimate AR coefficients using the Burg method
check Check for causality and invertibility
deaths USA accidental deaths, 1973 to 1978
dowj Dow Jones utilities index, August 28 to December 18, 1972
forecast Forecast future values
hannan Estimate ARMA coefficients using the Hannan-Rissanen algorithm
hr Estimate harmonic components
ia Estimate MA coefficients using the innovations algorithm
itsmr Time Series Analysis Using the Innovations Algorithm
lake Level of Lake Huron, 1875 to 1972
ma.inf Compute MA infinity coefficients
periodogram Plot a periodogram
plota Plot data and/or model ACF and PACF
plotc Plot one or two time series
plots Plot spectrum of data or ARMA model
Resid Compute residuals
season Estimate seasonal component
selftest Run a self test
sim Generate synthetic observations
smooth.exp Apply an exponential filter
smooth.fft Apply a low pass filter
smooth.ma Apply a moving average filter
smooth.rank Apply a spectral filter
specify Specify an ARMA model
strikes USA union strikes, 1951-1980
Sunspots Number of sunspots, 1770 to 1869
test Test residuals for stationarity and randomness
trend Estimate trend component
wine Australian red wine sales, January 1980 to October 1991
yw Estimate AR coefficients using the Yule-Walker method