Time Series Analysis Tools

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Documentation for package ‘simts’ version 0.2.2

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A B C D E F G H I L M N P Q R S T U V W misc

-- A --

AIC.fitsimts Akaike's Information Criterion
AR Create an Autoregressive P [AR(P)] Process
AR1 Definition of an Autoregressive Process of Order 1
ar1_to_wv AR(1) process to WV
ARIMA Create an Autoregressive Integrated Moving Average (ARIMA) Process
ARMA Create an Autoregressive Moving Average (ARMA) Process
ARMA11 Definition of an ARMA(1,1)
arma11_to_wv ARMA(1,1) to WV
arma_to_wv ARMA process to WV
australia Quarterly Increase in Stocks Non-Farm Total, Australia
auto_corr Empirical ACF and PACF

-- B --

best_model Select the Best Model

-- C --

check Diagnostics on Fitted Time Series Model
compare_acf Comparison of Classical and Robust Correlation Analysis Functions
corr_analysis Correlation Analysis Functions

-- D --

derivative_first_matrix Analytic D matrix of Processes
deriv_2nd_ar1 Analytic second derivative matrix for AR(1) process
deriv_2nd_arma11 Analytic D matrix for ARMA(1,1) process
deriv_2nd_dr Analytic second derivative matrix for drift process
deriv_2nd_ma1 Analytic second derivative for MA(1) process
deriv_ar1 Analytic D matrix for AR(1) process
deriv_arma11 Analytic D matrix for ARMA(1,1) process
deriv_dr Analytic D matrix for Drift (DR) Process
deriv_ma1 Analytic D matrix for MA(1) process
deriv_qn Analytic D matrix for Quantization Noise (QN) Process
deriv_rw Analytic D matrix Random Walk (RW) Process
deriv_wn Analytic D Matrix for a Gaussian White Noise (WN) Process
diag_boxpierce Box-Pierce
diag_ljungbox Ljung-Box
diag_plot Diagnostic Plot of Residuals
diag_portmanteau_ Portmanteau Tests
DR Create an Drift (DR) Process
dr_to_wv Drift to WV

-- E --

estimate Fit a Time Series Model to Data
evaluate Evalute a time series or a list of time series models

-- F --

FGN Definition of a Fractional Gaussian Noise (FGN) Process

-- G --

gen_ar1blocks Generate AR(1) Block Process
gen_bi Generate Bias-Instability Process
gen_gts Simulate a simts TS object using a theoretical model
gen_lts Generate a Latent Time Series Object Based on a Model
gen_nswn Generate Non-Stationary White Noise Process
GM Create a Gauss-Markov (GM) Process
gmwm Generalized Method of Wavelet Moments (GMWM)
gmwm_imu GMWM for (Robust) Inertial Measurement Units (IMUs)
gts Create a simts TS object using time series data

-- H --

hydro Mean Monthly Precipitation, from 1907 to 1972

-- I --

imu Create an IMU Object
imu_time Pulls the IMU time from the IMU object
is.gts Is simts Object
is.imu Is simts Object
is.lts Is simts Object
is.ts.model Is simts Object

-- L --

lts Generate a Latent Time Series Object from Data

-- M --

M Definition of a Mean deterministic vector returned by the matrix by vector product of matrix X and vector beta
MA Create an Moving Average Q [MA(Q)] Process
MA1 Definition of an Moving Average Process of Order 1
ma1_to_wv Moving Average Order 1 (MA(1)) to WV
make_frame Default utility function for various plots titles
MAPE Median Absolute Prediction Error
MAT Definition of a Matérn Process

-- N --

np_boot_sd_med Bootstrap standard error for the median

-- P --

plot.gmwm Plot the GMWM with the Wavelet Variance
plot.PACF Plot Partial Auto-Covariance and Correlation Functions
plot.simtsACF Plot Auto-Covariance and Correlation Functions
plot_pred Plot Time Series Forecast Function
PLP Definition of a Power Law Process
predict.fitsimts Time Series Prediction
predict.gmwm Predict future points in the time series using the solution of the Generalized Method of Wavelet Moments

-- Q --

QN Create an Quantisation Noise (QN) Process
qn_to_wv Quantisation Noise (QN) to WV

-- R --

read.imu Read an IMU Binary File into R
resid_plot Plot the Distribution of (Standardized) Residuals
rgmwm GMWM for Robust/Classical Comparison
rtruncated_normal Truncated Normal Distribution Sampling Algorithm
RW Create an Random Walk (RW) Process
RW2dimension Function to Compute Direction Random Walk Moves
rw_to_wv Random Walk to WV

-- S --

SARIMA Create a Seasonal Autoregressive Integrated Moving Average (SARIMA) Process
SARMA Create a Seasonal Autoregressive Moving Average (SARMA) Process
savingrt Personal Saving Rate
select Time Series Model Selection
select_ar Run Model Selection Criteria on ARIMA Models
select_arima Run Model Selection Criteria on ARIMA Models
select_arma Run Model Selection Criteria on ARIMA Models
select_ma Run Model Selection Criteria on ARIMA Models
simple_diag_plot Basic Diagnostic Plot of Residuals
simplified_print_SARIMA Simplify and print SARIMA model
SIN Definition of a Sinusoidal (SIN) Process
summary.fitsimts Summary of fitsimts object
summary.gmwm Summary of GMWM object

-- T --

theo_acf Theoretical Autocorrelation (ACF) of an ARMA process
theo_pacf Theoretical Partial Autocorrelation (PACF) of an ARMA process

-- U --

update.gmwm Update (Robust) GMWM object for IMU or SSM
update.gts Update Object Attribute
update.imu Update Object Attribute
update.lts Update Object Attribute

-- V --

value Obtain the value of an object's properties
value.imu Obtain the value of an object's properties

-- W --

WN Create an White Noise (WN) Process
wn_to_wv Gaussian White Noise to WV

-- misc --

[.imu Subset an IMU Object