Package: forecastSNSTS 1.2-0.9000

Tobias Kley

forecastSNSTS: Forecasting for Stationary and Non-Stationary Time Series

Methods to compute linear h-step ahead prediction coefficients based on localised and iterated Yule-Walker estimates and empirical mean squared and absolute prediction errors for the resulting predictors. Also, functions to compute autocovariances for AR(p) processes, to simulate tvARMA(p,q) time series, and to verify an assumption from Kley et al. (2017), Preprint <http://personal.lse.ac.uk/kley/forecastSNSTS.pdf>.

Authors:Tobias Kley [aut, cre], Philip Preuss [aut], Piotr Fryzlewicz [aut]

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forecastSNSTS.pdf |forecastSNSTS.html✨
forecastSNSTS/json (API)
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Bug tracker:https://github.com/tobiaskley/forecastsnsts/issues

On CRAN:

5 exports 5 stars 1.10 score 1 dependencies 9 scripts 174 downloads

Last updated 7 years agofrom:484fed0c1f. Checks:OK: 1 NOTE: 8. Indexed: yes.

Exports:acfARpfMSPEpredCoeftvARMA

Dependencies:Rcpp