Published by the Foundation for Open Access Statistics Editors-in-chief: Bettina Grün, Torsten Hothorn, Rebecca Killick, Edzer Pebesma, Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
Authors: A. Ian McLeod, Hao Yu, Zinovi L. Krougly
Title: Algorithms for Linear Time Series Analysis: With R Package
Abstract: Our ltsa package implements the Durbin-Levinson and Trench algorithms and provides a general approach to the problems of fitting, forecasting and simulating linear time series models as well as fitting regression models with linear time series errors. For computational efficiency both algorithms are implemented in C and interfaced to R. Examples are given which illustrate the efficiency and accuracy of the algorithms. We provide a second package FGN which illustrates the use of the ltsa package with fractional Gaussian noise (FGN). It is hoped that the ltsa will provide a base for further time series software.

Page views:: 23833. Submitted: 2005-10-14. Published: 2007-12-31.
Paper: Algorithms for Linear Time Series Analysis: With R Package     Download PDF (Downloads: 26768)
ltsa_1.0.tar.gz: R source package ltsa Download (Downloads: 1424; 20KB)
FGN_1.0.tar.gz: R source package FGN Download (Downloads: 1414; 12KB) R example scripts from the paper Download (Downloads: 1496; 4KB)

DOI: 10.18637/jss.v023.i05

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Paper: Creative Commons Attribution 3.0 Unported License
Code: GNU General Public License (at least one of version 2 or version 3) or a GPL-compatible license.