General Methodology

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

Sample Correlation Function

Autocorrelation function ACF

Partial autocorrelation function PACF

Cross-correlation function CCF

Multichannel cross-correlation function MCCF

Time Domain Methodology

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

Transfer Function Model

Estimation of impulse response and noise series IRNSE

Preliminary estimation of parameters TFPE

Multichannel Time Series

Least-squares estimation of parameters MLSE

Estimation of multichannel Wiener filter MWFE

Kalman filter KALMN

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

Bayesian Time Series Estimation

Bayesian seasonal adjustment modeling BAY_SEA

Controller Design

Optimum controller design OPT_DES

Diagnostics

Lack of fit test based on the correlation function LOFCF

Frequency Domain Methodology

Smoothing Functions

Dirichlet kernel function DIRIC

Fejér kernel function FEJER

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

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