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) .


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Reference manual

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install.packages("pcts")

0.14-4 by Georgi N. Boshnakov, 8 months ago


https://geobosh.github.io/pcts https://github.com/GeoBosh/pcts


Report a bug at https://github.com/GeoBosh/pcts/issues


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


Authors: Georgi N. Boshnakov


Documentation:   PDF Manual  


Task views: Time Series Analysis


GPL (>= 2) license


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

Depends on sarima

Suggests testthat, pear, fUnitRoots, partsm


See at CRAN