Algorithms for Linear Time Series Analysis: With R Package

Algorithms for Linear Time Series Analysis: With R Package

Our ltsa package implements the Durbin-Levinson and Trench algorithms and provides a general approach to the problems of fitting, forecasting and simulating linear time series models as well as fitting regression models with linear time series errors. For computational efficiency both algorithms are...

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Bibliographic Details
Main Authors: A. Ian McLeod, Hao Yu, Zinovi L. Krougly
Format: Article
Language:English
Published: Foundation for Open Access Statistics 2007-11-01
Series:Journal of Statistical Software
Subjects:
exact maximum likelihood estimation
forecasting
fractional Gaussian noise
in- verse symmetric Toeplitz matrix
long memory and the Nile river minima
time series regression
time series simulation
Online Access:http://www.jstatsoft.org/v23/i05/paper

Internet

http://www.jstatsoft.org/v23/i05/paper

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