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quantspec - Quantile-Based Spectral Analysis of Time Series
Methods to determine, smooth and plot quantile periodograms for univariate and multivariate time series.
Last updated
cpp
5.48 score 13 stars 46 scripts 281 downloadsforecastSNSTS - 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>.
Last updated
cpp
3.40 score 5 stars 9 scripts 180 downloads