Time Series Analysis Using the Innovations Algorithm

Provides functions for modeling and forecasting time series data. Forecasting is based on the innovations algorithm. A description of the innovations algorithm can be found in the textbook "Introduction to Time Series and Forecasting" by Peter J. Brockwell and Richard A. Davis. < http://www.springer.com/us/book/9781475777505>.


Reference manual

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1.9 by George Weigt, 3 years ago


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

Authors: George Weigt

Documentation:   PDF Manual  

Task views: Time Series Analysis

FreeBSD license

See at CRAN