Time Series Analysis Tools


[Up] [Top]

Documentation for package ‘simts’ version 0.2.0

Help Pages

AIC.fitsimts Akaike's Information Criterion
AR Create an Autoregressive P [AR(P)] Process
AR1 Definition of an Autoregressive Process of Order 1
ar1_to_wv AR(1) process to WV
ARIMA Create an Autoregressive Integrated Moving Average (ARIMA) Process
ARMA Create an Autoregressive Moving Average (ARMA) Process
ARMA11 Definition of an ARMA(1,1)
arma11_to_wv ARMA(1,1) to WV
arma_to_wv ARMA process to WV
australia Quarterly Increase in Stocks Non-Farm Total, Australia
auto_corr Empirical ACF and PACF
best_model Select the Best Model
check Diagnostics on Fitted Time Series Model
compare_acf Comparison of Classical and Robust Correlation Analysis Functions
corr_analysis Correlation Analysis Functions
derivative_first_matrix Analytic D matrix of Processes
deriv_2nd_ar1 Analytic second derivative matrix for AR(1) process
deriv_2nd_arma11 Analytic D matrix for ARMA(1,1) process
deriv_2nd_dr Analytic second derivative matrix for drift process
deriv_2nd_ma1 Analytic second derivative for MA(1) process
deriv_ar1 Analytic D matrix for AR(1) process
deriv_arma11 Analytic D matrix for ARMA(1,1) process
deriv_dr Analytic D matrix for Drift (DR) Process
deriv_ma1 Analytic D matrix for MA(1) process
deriv_qn Analytic D matrix for Quantization Noise (QN) Process
deriv_rw Analytic D matrix Random Walk (RW) Process
deriv_wn Analytic D Matrix for a Gaussian White Noise (WN) Process
diag_boxpierce Box-Pierce
diag_ljungbox Ljung-Box
diag_plot Diagnostic Plot of Residuals
diag_portmanteau_ Portmanteau Tests
DR Create an Drift (DR) Process
dr_to_wv Drift to WV
estimate Fit a Time Series Model to Data
evaluate Evalute a time series or a list of time series models
gen_ar1blocks Generate AR(1) Block Process
gen_bi Generate Bias-Instability Process
gen_gts Simulate a simts TS object using a theoretical model
gen_lts Generate a Latent Time Series Object Based on a Model
gen_nswn Generate Non-Stationary White Noise Process
GM Create a Gauss-Markov (GM) Process
gmwm Generalized Method of Wavelet Moments (GMWM)
gmwm_imu GMWM for (Robust) Inertial Measurement Units (IMUs)
gts Create a simts TS object using time series data
hydro Mean Monthly Precipitation, from 1907 to 1972
imu Create an IMU Object
imu_time Pulls the IMU time from the IMU object
is.gts Is simts Object
is.imu Is simts Object
is.lts Is simts Object
is.ts.model Is simts Object
lts Generate a Latent Time Series Object from Data
MA Create an Moving Average Q [MA(Q)] Process
MA1 Definition of an Moving Average Process of Order 1
ma1_to_wv Moving Average Order 1 (MA(1)) to WV
make_frame Default utility function for various plots titles
MAPE Median Absolute Prediction Error
np_boot_sd_med Bootstrap standard error for the median
plot.gmwm Plot the GMWM with the Wavelet Variance
plot.PACF Plot Partial Auto-Covariance and Correlation Functions
plot.simtsACF Plot Auto-Covariance and Correlation Functions
plot_pred Plot Time Series Forecast Function
predict.fitsimts Time Series Prediction
predict.gmwm Predict future points in the time series using the solution of the Generalized Method of Wavelet Moments
QN Create an Quantisation Noise (QN) Process
qn_to_wv Quantisation Noise (QN) to WV
read.imu Read an IMU Binary File into R
resid_plot Plot the Distribution of (Standardized) Residuals
rgmwm GMWM for Robust/Classical Comparison
rtruncated_normal Truncated Normal Distribution Sampling Algorithm
RW Create an Random Walk (RW) Process
RW2dimension Function to Compute Direction Random Walk Moves
rw_to_wv Random Walk to WV
SARIMA Create a Seasonal Autoregressive Integrated Moving Average (SARIMA) Process
SARMA Create a Seasonal Autoregressive Moving Average (SARMA) Process
savingrt Personal Saving Rate
select Time Series Model Selection
select_ar Run Model Selection Criteria on ARIMA Models
select_arima Run Model Selection Criteria on ARIMA Models
select_arma Run Model Selection Criteria on ARIMA Models
select_ma Run Model Selection Criteria on ARIMA Models
simple_diag_plot Basic Diagnostic Plot of Residuals
simplified_print_SARIMA Simplify and print SARIMA model
SIN Create an Sinusoidal (SIN) Process
summary.fitsimts Summary of fitsimts object
summary.gmwm Summary of GMWM object
theo_acf Theoretical Autocorrelation (ACF) of an ARMA process
theo_pacf Theoretical Partial Autocorrelation (PACF) of an ARMA process
update.gmwm Update (Robust) GMWM object for IMU or SSM
update.gts Update Object Attribute
update.imu Update Object Attribute
update.lts Update Object Attribute
value Obtain the value of an object's properties
value.imu Obtain the value of an object's properties
WN Create an White Noise (WN) Process
wn_to_wv Gaussian White Noise to WV
[.imu Subset an IMU Object