ltsa-package |
Linear Time Series Analysis |
DHSimulate |
Simulate General Linear Process |
DLAcfToAR |
Autocorrelations to AR parameters |
DLLoglikelihood |
Durbin-Levinsion Loglikelihood |
DLResiduals |
Prediction residuals |
DLSimulate |
Simulate linear time series |
exactLoglikelihood |
Exact log-likelihood and MLE for variance |
innovationVariance |
Nonparametric estimate of the innovation variance |
is.toeplitz |
test if argument is a symmetric Toeplitz matrix |
ltsa |
Linear Time Series Analysis |
PredictionVariance |
Prediction variance |
SimGLP |
Simulate GLP given innovations |
tacvfARMA |
theoretical autocovariance function (acvf) of ARMA |
ToeplitzInverseUpdate |
Inverse of Toeplitz matrix of order n+1 given inverse of order n |
TrenchForecast |
Minimum Mean Square Forecast |
TrenchInverse |
compute the matrix inverse of a positive-definite Toepliz matrix |
TrenchLoglikelihood |
Loglikelihood function of stationary time series using Trench algorithm |
TrenchMean |
Exact MLE for mean given the autocorrelation function |