FNLStat : Time Series Analysis and Forecasting
Time Series Analysis and Forecasting
Routines
8.1 General Methodology
8.1.1 Time Series Transformation
Box-Cox transformation BCTR
Nonseasonal and seasonal difference DIFF
Estimates missing values in a time series ESTIMATE_MISSING
Determines an optimal differencing for seasonal
adjustment of a time series SEASONAL_FIT
8.1.2 Sample Correlation Function
Autocorrelation function ACF
Partial autocorrelation function PACF
Cross-correlation function CCF
Multichannel cross-correlation function MCCF
8.2 Time Domain Methodology
8.2.1 Nonseasonal Time Series Model Estimation
Method of moments estimation of AR parameters ARMME
Method of moments estimation of MA parameters MAMME
Preliminary estimation of ARMA parameters NSPE
Least-squares estimation of ARMA models NSLSE
Maximum likelihood estimation of ARMA models MAX_ARMA
Fit a univariate, non-seasonal ARIMA time series model REG_ARIMA
Estimation of GARCH (p,q) models. GARCH
Wiener forecast operator estimates SPWF
Box-Jenkins forecast NSBJF
8.2.2 Transfer Function Model
Estimation of impulse response and noise series IRNSE
Preliminary estimation of parameters TFPE
8.2.3 Multichannel Time Series
Least-squares estimation of parameters MLSE
Estimation of multichannel Wiener filter MWFE
Kalman filter KALMN
8.2.4 Automatic Model Selection Fitting
AIC selection for univariate AR models AUTO_UNI_AR
Detects and determines outliers and simultaneously estimates
the model parameters in a time series TS_OUTLIER_IDENTIFICATION
Computes forecasts for an outlier contaminated
time series TS_OUTLIER_FORECAST
Automatic ARIMA modeling and forecasting in the presence
of possible outliers AUTO_ARIMA
FPE selection for univariate AR models AUTO_FPE_UNI_AR
Estimates structural breaks in non-stationary univariate
time series models AUTO_PARM
AIC selection for multivariate AR models AUTO_MUL_AR
MFPE selection for multivariate AR models AUTO_FPE_MUL_AR
8.2.5 Bayesian Time Series Estimation
Bayesian seasonal adjustment modeling BAY_SEA
8.2.6 Controller Design
Optimum controller design OPT_DES
8.2.7 Diagnostics
Lack of fit test based on the correlation function LOFCF
8.3 Frequency Domain Methodology
8.3.1 Smoothing Functions
Dirichlet kernel function DIRIC
Fejér kernel function FEJER
8.3.2 Spectral Density Estimation
ARMA rational spectrum estimation ARMA_SPEC
Periodogram using fast Fourier transform PFFT
Using spectral window given data SSWD
Using spectral window given periodogram SSWP
Using weight sequence given data SWED
Using weight sequence given periodogram SWEP
8.3.3 Cross-Spectral Density Estimation
Cross periodogram using fast Fourier transform CPFFT
Using spectral window given data CSSWD
Using spectral window given cross periodogram CSSWP
Using weight sequence given data CSWED
Using weight sequence given cross periodogram CSWEP
Published date: 03/19/2020
Last modified date: 03/19/2020