Time Series Models

WN()

Create an White Noise (WN) Process

DR()

Create an Drift (DR) Process

QN()

Create an Quantisation Noise (QN) Process

RW()

Create an Random Walk (RW) Process

GM()

Create a Gauss-Markov (GM) Process

AR()

Create an Autoregressive P [AR(P)] Process

AR1()

Definition of an Autoregressive Process of Order 1

MA()

Create an Moving Average Q [MA(Q)] Process

ARMA()

Create an Autoregressive Moving Average (ARMA) Process

ARIMA()

Create an Autoregressive Integrated Moving Average (ARIMA) Process

SARMA()

Create a Seasonal Autoregressive Moving Average (SARMA) Process

SARIMA()

Create a Seasonal Autoregressive Integrated Moving Average (SARIMA) Process

SIN()

Create an Sinusoidal (SIN) Process

Time Series Simulation

gts()

Create a simts TS object using time series data

gen_gts()

Simulate a simts TS object using a theoretical model

lts()

Generate a Latent Time Series Object from Data

gen_lts()

Generate a Latent Time Series Object Based on a Model

gen_ar1blocks()

Generate AR(1) Block Process

gen_bi()

Generate Bias-Instability Process

gen_nswn()

Generate Non-Stationary White Noise Process

Time Series Descriptive Analysis

plot(<gts>)

Plot simts Time Series Data

plot(<lts>)

Plot Latent Time Series Object

auto_corr()

Empirical ACF and PACF

plot(<PACF>)

Plot Partial Auto-Covariance and Correlation Functions

corr_analysis()

Correlation Analysis Functions

compare_acf()

Comparison of Classical and Robust Correlation Analysis Functions

Time Series Model Estimation

estimate()

Fit a Time Series Model to Data

Time Series Diagnostic Tools

check()

Diagnostics on Fitted Time Series Model

Model selection of SARIMA models

select()

Time Series Model Selection

Kalman Filtering

Miscellanea

RW2dimension()

Function to Compute Direction Random Walk Moves

ar1_to_gm()

Transform AR1 to GM

gm_to_ar1()

Transform GM to AR1