Periodically Correlated and Periodically Integrated Time Series

Classes and methods for modelling and simulation of periodically correlated (PC) and periodically integrated time series. Compute theoretical periodic autocovariances and related properties of PC autoregressive moving average models. Some original methods including Boshnakov & Iqelan (2009) , Boshnakov (1996) .


Reference manual

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0.15 by Georgi N. Boshnakov, a year ago (website) (devel)

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Authors: Georgi N. Boshnakov

Documentation:   PDF Manual  

Task views: Time Series Analysis

GPL (>= 2) license

Imports methods, sarima, Matrix, BB, PolynomF, gbutils, zoo, xts, stats4, lagged, mcompanion, Rdpack, lubridate

Suggests testthat, fUnitRoots, partsm, knitr, rmarkdown

See at CRAN