Continuous Time Autoregressive Models

Functions to fit continuous time autoregressive models with the Kalman filter (Wang (2013) ).


News

            CHANGES in `cts' VERSION 1.0   (2006-6-23)

o submitted the package to CRAN

            CHANGES in `cts' VERSION 1.0-1 (2006-9-29)

o In Makevars, replace PKG_LIBS=$(LAPACK_LIBS) $(BLAS_LIBS) with PKG_LIBS=$(LAPACK_LIBS) $(BLAS_LIBS) $(FLIBS)

            Note on `cts' VERSION 1.0-2 (2006-12-11)

o This version was used for some calculations with time deformation, not for package development purpose

            CHANGES in `cts' VERSION 1.0-3 (2010-12-7)

o changes from 1.0-1: pass a parameter TRACE in R function to Fortran (TRA), which controls printout. Also minorly improve R functions

            CHANGES in `cts' VERSION 1.0-4 (2011-7-23)

o commented out print/write in Fortran subroutines, and add IMPLICIT NONE

            CHANGES in `cts' VERSION 1.0-5 (2011-8-28)

o replace two values computed by calling envron in envirn.f, and remove envron.f. The machine dependent paramaters in envirn.f caused a failure of test/build on Windows machines.

            CHANGES in `cts' VERSION 1.0-6 (2011-10-08)

o add Fortran source file diagram o add Fortran source file machine.f to read the machine dependent information written by R function car_control o replace sgefa.f with dgetrf.f, and sgesl.f with dgetrs.f in lycsr.f and mepad.f (sgefa.f and sgesl.f are indeed dgefa.f and dgesl.f, respectively, in Netlib). o remove unused Fortran source file sgesa.f, sgesl.f, dpodi.f, envron.f

            CHANGES in `cts' VERSION 1.0-7 (2011-11-16)

o modify car.R to generate machine.txt with an extra end line as a workaround for Fortran machine.f failure on Mac machines

            CHANGES in `cts' VERSION 1.0-8 (2011-11-21)

o The package failed test/build on Mac machines with version 1.0-6 and 1.0.7. Removed machine.f and used the envirn.f in version 1.0-5, and add getmin.f and store.f in version 1.0-5.

            CHANGES in `cts' VERSION 1.0-9 (2011-12-6)

o modify plot.spec.ls o change R function names plot.spec.car and plot.spec.ls.

            CHANGES in `cts' VERSION 1.0-10 (2012-4-4)

o in R function car, to avoid array overrun, change the following lines

 phi <- .Fortran("setupdate",
         phi1=double(order),

 to 

 phi <- .Fortran("setupdate",
         phi1=double(20),
            
            CHANGES in `cts' VERSION 1.0-11 (2012-6-12)

o changed the limit of number of observations from 500 to 5000

            CHANGES in `cts' VERSION 1.0-12 (2012-7-22)

o changed the Fortran subroutine cspec to the calculation of the spectrum o added a new parameter frmult in function spectrum which can be used to muliply the frequency range o added AIC and BIC values in the output of function car

            CHANGES in `cts' VERSION 1.0-16 (2013-5-01)

o The estimates of all the other variances (in this case the forecast value variance) must by multiplied by this residual variance. o Lazy Fortran programmers often specify Fortran dimensions as 1 rather than * or a real bound: d1rply.f, d2rply.f, d3rply.f, d4rply.f, d5rply.f, d6rply.f, d7rply.f, d8rply.f, d9rply.f

            CHANGES in `cts' VERSION 1.0-17 (2013-6-16)

o delete LAPACK source files dgetrs.f and dgetrf.f, instead call these subroutines in LAPACK o update author field in DESCRIPTION

            CHANGES in `cts' VERSION 1.0-18 (2013-8-22)

o modified to remove calls to plot.spec for R version 3.1.0 o add inst/COPYRIGHTS

            CHANGES in `cts' VERSION 1.0-19 (2014-2-3)

o added pre2 and prv2 in car object for fitted values with variances

            CHANGES in `cts' VERSION 1.0-21 (2017-3-2)

o change package= to PACKAGE= when calling .Fortran in R function o to register native routines and to disable symbol search

Reference manual

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install.packages("cts")

1.0-22 by Zhu Wang, 9 months ago


Browse source code at https://github.com/cran/cts


Authors: Fortran original by G. Tunnicliffe-Wilson and Zhu Wang , R port by Zhu Wang with contribution from John Nash , Netlib and NAG authors


Documentation:   PDF Manual  


Task views: Time Series Analysis


GPL (>= 2) license



See at CRAN