Linear Time Series Analysis

Methods of developing linear time series modelling. Methods are given for loglikelihood computation, forecasting and simulation.


CHANGES IN 'ltsa' VERSION 1.46 (2015-08-21) o improved documentation exactLoglikelihood() o innovationVariance() CHANGES IN 'ltsa' VERSION 1.45 (2015-08-21) o new function exactLoglikelihood() o fixed warnings by adjusting namespace, importFrom("stats", "ARMAtoMA", "convolve", "fft", "rnorm", "toeplitz") CHANGES IN 'ltsa' VERSION 1.42,1.43,1.44 (2012-12-14) o minor documentation fixes CHANGES IN 'ltsa' VERSION 1.41 (2011-05-16) o minor issue with DHSimulate fixed CHANGES IN 'ltsa' VERSION 1.4 (2010-11-30) o fixed NAMESPACE problem

Reference manual

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1.4.6 by A.I. McLeod, 6 years ago

Browse source code at

Authors: A.I. McLeod , Hao Yu , Zinovi Krougly

Documentation:   PDF Manual  

Task views: Time Series Analysis

GPL (>= 2) license

Imported by artfima, beyondWhittle, sarima, slm, tscopula, tscount.

Depended on by FitAR, arfima.

Suggested by HKprocess.

See at CRAN