Package: perARMA 1.7

perARMA: Periodic Time Series Analysis

Identification, model fitting and estimation for time series with periodic structure. Additionally, procedures for simulation of periodic processes and real data sets are included. Hurd, H. L., Miamee, A. G. (2007) <doi:10.1002/9780470182833> Box, G. E. P., Jenkins, G. M., Reinsel, G. (1994) <doi:10.1111/jtsa.12194> Brockwell, P. J., Davis, R. A. (1991, ISBN:978-1-4419-0319-8) Bretz, F., Hothorn, T., Westfall, P. (2010, ISBN: 9780429139543) Westfall, P. H., Young, S. S. (1993, ISBN:978-0-471-55761-6) Bloomfield, P., Hurd, H. L.,Lund, R. (1994) <doi:10.1111/j.1467-9892.1994.tb00181.x> Dehay, D., Hurd, H. L. (1994, ISBN:0-7803-1023-3) Vecchia, A. (1985) <doi:10.1080/00401706.1985.10488076> Vecchia, A. (1985) <doi:10.1111/j.1752-1688.1985.tb00167.x> Jones, R., Brelsford, W. (1967) <doi:10.1093/biomet/54.3-4.403> Makagon, A. (1999) <https://www.math.uni.wroc.pl/~pms/files/19.2/Article/19.2.5.pdf> Sakai, H. (1989) <doi:10.1111/j.1467-9892.1991.tb00069.x> Gladyshev, E. G. (1961) <https://www.mathnet.ru/php/archive.phtml?wshow=paper&jrnid=dan&paperid=24851> Ansley (1979) <doi:10.1093/biomet/66.1.59> Hurd, H. L., Gerr, N. L. (1991) <doi:10.1111/j.1467-9892.1991.tb00088.x>.

Authors:Anna Dudek [aut], Harry Hurd [aut], Wioletta Wojtowicz [aut], Karolina Marek [cre]

# Install 'perARMA' in R:

install.packages('perARMA', repos = c('https://klona9.r-universe.dev', 'https://cloud.r-project.org'))

Datasets:

arosa - Monthly stratospheric ozone, Arosa
volumes - Volumes of energy, Nord Pool Spot Exchange
volumes.sep - Volumes of energy, Nord Pool Spot Exchange, from 1st and 2nd September 2010.

On CRAN:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

Last updated 1 years agofrom:a858d91d2f. Checks:OK: 7. Indexed: yes.

Help page	Topics
Periodic Time Series Analysis and Modeling	perARMA-package perARMA
Fourier representation of real matrix	ab2phth phth2ab
Plotting usual ACF and PACF	acfpacf acfpacf.acf acfpacf.pacf
Monthly stratospheric ozone, Arosa	arosa
Fourier representation of covariance function	Bcoeff Bcoeffa
Calculation of the logarithm of likelihood function	loglikec
Calculation of the logarithm of likelihood function (using Fourier representation)	loglikef
Simulation of PARMA sequence	makepar makeparma
Identification of PC-T structure	parma_ident
PARMA coefficients estimation	parmaf
PARMA filtration	parmafil
Computing residuals of PARMA series	parmaresid
Periodic ACF function	peracf
Periodic Mean Estimation	permest
Periodic PACF function	perpacf ppfcoeffab ppfplot
Periodic standard deviations	persigest
Yule-Walker estimators of PAR model	perYW
Plotting the periodogram of time series	pgram
Prediction for PAR model	predictperYW predseries
Covariance matrix for PARMA model (conditional)	R_w_ma
Plotting the squared coherence statistic of time series	scoh
Volumes of energy, Nord Pool Spot Exchange	volumes
Volumes of energy, Nord Pool Spot Exchange, from 1st and 2nd September 2010.	volumes.sep