The following table lists functions in this documentation.
|
Name |
Description |
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Autocorrelation/autocovariance function. | |
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Fit ARAR algorithm. | |
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Forecast time series by ARAR. | |
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Burg AR estimation. | |
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Simulate the ARIMA process. | |
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Estimates autocorrelation/autocovariance function for the ARMA model. | |
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Forecast time series by using ARMA(p,q) model. | |
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Hannah-Rissanen ARMA estimation. | |
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Innovations ARMA estimation. | |
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Innovations ARMA estimation. | |
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ARMA process covariances. | |
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Calculate necessary covariances for ARMA(p,q) process up to kappa(KappaSize,KappaSize) | |
|
-2log likelihood. | |
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Estimate ARMA process AR and MA coefficients. | |
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ARMA model one-step ahead predictors. | |
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Simulate the ARMA (p,q) process. | |
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Yule-Walker AR estimation. | |
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Autocovariance function. | |
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Box-Cox transformation. | |
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Inverse Box-Cox transformation. | |
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The box-Ljung statistics. | |
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Check AR(MA) coeefficients. | |
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This is function StatTimeSerAnalysis.CheckARMACoeffs. | |
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Double exponential forecast. | |
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First estimate Alpha and Gamma parameters by double smoothing and then use returned values to forecast up to T periods. | |
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Double exponential smoothing. | |
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In this case a fixed smoothing constants Alpha, Gamma are used in smoothing equations (no minimization is performed). | |
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The Durbin-Levinson algorithm. | |
|
Calculates the Durbin-Watson statistic | |
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Uses the Innnovations algorithm to recursively calculate Theta[1,1]...Theta[n,n] coefficients (all coefficients). | |
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The innovations algorithm. | |
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This is function StatTimeSerAnalysis.InvTransformParams. | |
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Single moving average. | |
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Partial autocorelation function. | |
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Partial autocorrelation function. | |
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Memory-shortening filter. | |
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Single exponential forecast. | |
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rst estimate Alpha parameters by single smoothing and then use returned value to forecast up to T periods. | |
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Single exponential smoothing. | |
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In this case a fixed smoothing constant Alpha is used in smoothing equations (no minimization is performed). | |
|
Setup initial values for integrating ARMA series. | |
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This is function StatTimeSerAnalysis.TransformParams. | |
|
Triple exponential forecast. | |
| ||
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Triple exponential smoothing. | |
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