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. (2019), Electronic of Statistics,
forthcoming. Preprint
o Added MAPE function. o Added parameters trimLo and trimUp to MSPE function.
o Fixed a small bug in function f and corresponding example.
o Added function acfARp to compute autocovariances of AR(p) processes. o Added function f that can be used to verify assumption (10) from Theorem 3.1 in Kley et al. (2016).
o two functions to compute linear prediction coefficients and mean squared prediction errors. o demo on how to analyse, using a simulated tvARMA(1,1) time series