simts

Akaike's Information Criterion

Create an Autoregressive P [AR(P)] Process

Definition of an Autoregressive Process of Order 1

Create an Autoregressive Integrated Moving Average (ARIMA) Process

Create an Autoregressive Moving Average (ARMA) Process

Definition of an ARMA(1,1)

Compute Theoretical ACF for an ARMA Process

Converting an ARMA Process to an Infinite MA Process

B Matrix

Create an Drift (DR) Process

Analytic D matrix of Processes

Create a Gauss-Markov (GM) Process

Create an Moving Average Q [MA(Q)] Process

Definition of an Moving Average Process of Order 1

Median Absolute Prediction Error

Absolute Value or Modulus of a Complex Number.

Create an Quantisation Noise (QN) Process

Create an Random Walk (RW) Process

Function to Compute Direction Random Walk Moves

Hook into R's ARIMA function

Create a Seasonal Autoregressive Integrated Moving Average (SARIMA) Process

Create a Seasonal Autoregressive Moving Average (SARMA) Process

Create an White Noise (WN) Process

Helper Function for ARMA to WV Approximation

Bootstrap for Everything!

Randomly guess starting parameters for AR1

Transform AR1 to GM

AR(1) process to WV

ARMA(1,1) to WV

ARMA Adapter to ARMA to WV Process function

Randomly guess starting parameters for ARMA

ARMA process to WV

ARMA process to WV Approximation

Quarterly Increase in Stocks Non-Farm Total, Australia

Empirical ACF and PACF

Find the auto imu result

Computes the MO/DWT wavelet variance for multiple processes

Select the Best Model

bl14 filter construction

bl20 filter construction

Generate the Confidence Interval for GOF Bootstrapped

Compute the Bootstrapped GoF Test

Removal of Boundary Wavelet Coefficients

Build List of Unique Models

Calculate the Psi matrix

Time Series Convolution Filters

Diagnostics on Fitted Time Series Model

Generate eta3 confidence interval

Generate eta3 robust confidence interval

Generate a Confidence intervval for a Univariate Time Series

Optim loses NaN

Combine math expressions

Comparison of Classical and Robust Correlation Analysis Functions

Computes the (MODWT) wavelet covariance matrix

Correlation Analysis Functions

Count Models

Bootstrap for Matrix V

Custom legend function

d16 filter construction

d4 filter construction

d6 filter construction

d8 filter construction

Each Models Process Decomposed to WV

Decomposed WV to Single WV

Analytic second derivative matrix for AR(1) process

Analytic D matrix for ARMA(1,1) process

Analytic second derivative matrix for drift process

Analytic second derivative for MA(1) process

Analytic D matrix for AR(1) process

Analytic D matrix for ARMA(1,1) process

Analytic D matrix for Drift (DR) Process

Analytic D matrix for MA(1) process

Analytic D matrix for Quantization Noise (QN) Process

Analytic D matrix Random Walk (RW) Process

Analytic D Matrix for a Gaussian White Noise (WN) Process

Analytic D matrix of Processes

Create a ts.model from desc string

Discrete Fourier Transformation for Autocovariance Function

Box-Pierce

Ljung-Box

Diagnostic Plot of Residuals

Portmanteau Tests

Lagged Differences in Armadillo

Discrete Intergral: Inverse Difference

Root Finding C++

Root Finding C++

Auto-Covariance and Correlation Functions

Drift to WV

Discrete Wavelet Transform

Expected value DR

Fit a Time Series Model to Data

Evalute a time series or a list of time series models

Computes the (MODWT) wavelet covariance matrix using Chi-square confidence interval bounds

Transform an Armadillo field<vec> to a matrix

Find the Common Denominator of the Models

fk14 filter construction

fk22 filter construction

fk4 filter construction

fk6 filter construction

fk8 filter construction

Format the Confidence Interval for Estimates

Generate an Autoregressive Order 1 ( AR(1) ) sequence

Generate AR(1) Block Process

Generate Autoregressive Order p, Integrated d, Moving Average Order q (ARIMA(p,d,q)) Model

Generate Autoregressive Order p - Moving Average Order q (ARMA(p,q)) Model

Generate an ARMA(1,1) sequence

Generate Bias-Instability Process

Generate a Drift Process

Generate Generic Seasonal Autoregressive Order P - Moving Average Order Q (SARMA(p,q)x(P,Q)) Model

Simulate a simts TS object using a theoretical model

Generate a Latent Time Series Object Based on a Model

Generate Latent Time Series based on Model (Internal)

Generate an Moving Average Order 1 (MA(1)) Process

Generate Time Series based on Model (Internal)

Generate Non-Stationary White Noise Process

Generate a Quantisation Noise (QN) or Rounding Error Sequence

Generate a Random Walk without Drift

Generate Seasonal Autoregressive Order P - Moving Average Order Q (SARMA(p,q)x(P,Q)) Model

Generate Seasonal Autoregressive Order P - Moving Average Order Q (SARMA(p,q)x(P,Q)) Model

Generate a Gaussian White Noise Process (WN(sigma^2))

Retrieve GMWM starting value from Yannick's objective function

Retrieve GMWM starting value from Yannick's objective function

Routing function for summary info

GM Conversion

Transform GM to AR1

Generalized Method of Wavelet Moments (GMWM) for IMUs, ARMA, SSM, and Robust

Engine for obtaining the GMWM Estimator

GMWM for (Robust) Inertial Measurement Units (IMUs)

Master Wrapper for the GMWM Estimator

Bootstrap for Estimating Both Theta and Theta SD

Bootstrap for Standard Deviations of Theta Estimates

Update Wrapper for the GMWM Estimator

Compute the GOF Test

Create a simts TS object using time series data

Time of a gts object

Randomly guess a starting parameter

Randomly guess a starting parameter

Haar filter construction

Obtain the value of an object's properties

Mean Monthly Precipitation, from 1907 to 1972

Indirect Inference for ARMA

Indirect Inference for ARMA

Pulls the IMU time from the IMU object

Check Invertibility Conditions

Integer Check

Is simts Object

Calculates the Jacobian for the ARMA process

la16 filter construction

la20 filter construction

la8 filter construction

MLR in Armadillo

Linear Regression with Drift

Logit Function

Logit2 Function

Logit2 Inverse Function

Logit Inverse Function

Generate a Latent Time Series Object from Data

Second moment DR

Moving Average Order 1 (MA(1)) to WV

Default utility function for various plots titles

mb16 filter construction

mb24 filter construction

mb4 filter construction

mb8 filter construction

Mean of the First Difference of the Data

Obtain the smallest polynomial root

Generate the ts model object description

Generate the ts model object's process desc

Model Score

Generate the ts model object's theta vector

Maximum Overlap Discrete Wavelet Transform

Computes the (MODWT) wavelet variance

Bootstrap standard error for the median

Replicate a Vector of Elements n times

Extract Object

Bootstrap for Optimism and GoF

Bootstrap for Optimism

Order the Model

Order AR1s by size of phi.

Plot Partial Auto-Covariance and Correlation Functions

Plot simts Time Series Data

Plot Latent Time Series Object

Plot Auto-Covariance and Correlation Functions

Plot Time Series Forecast Function

Add ts.model objects together

Time Series Prediction

Predict future points in the time series using the solution of the Generalized Method of Wavelet Moments

Print fitsimts object

Print gmwm object

Print summary.gmwm object

Multiply a ts.model by constant

Print simts Objects

Pseudo Logit Function

Pseudo Logit Inverse Function

Quadrature Mirror Filter

Quantisation Noise (QN) to WV

Find Quantiles

Find the Rank Models result

Read an IMU Binary File into R

Plot the Distribution of (Standardized) Residuals

Reverse Subset Column

Reverse Subset Row

Reverse Armadillo Vector

Time Series Recursive Filters

GMWM for Robust/Classical Comparison

Truncated Normal Distribution Sampling Algorithm

Random Walk to WV

Sales Dataset

Calculates Length of Seasonal Padding

Determine parameter expansion based upon objdesc

Expand Parameters for an SARMA object

(Internal) Expand the SARMA Parameters

Efficient way to merge items together

Personal Saving Rate

Computes the MODWT scales

Time Series Model Selection

Run Model Selection Criteria on ARIMA Models

Select the Wavelet Filter

Generate a sequence of values

Generate a sequence of values based on supplied number

Set the RNG Seed from within Rcpp

Basic Diagnostic Plot of Residuals

Simplify and print SARIMA model

simts: Time Series Analysis Tools

Sort Matrix by Column

Accumulation of Armadillo field<vec>

Summary of fitsimts object

Summary of GMWM object

Theoretical Autocorrelation (ACF) of an ARMA process

Theoretical Partial Autocorrelation (PACF) of an ARMA process

Model Process to WV

Generate the Confidence Interval for Theta Estimates

Multiple a ts.model by constant

Transform Values for Optimization

Convert Unit of Time Series Data

Revert Transform Values for Display

Update (Robust) GMWM object for IMU or SSM

Update Object Attribute

Update the Attributes of Objects

Obtain the value of an object's properties

Variance DR

Conversion function of Vector to Set

w4 filter construction

Generate a Wave Variance for a Univariate Time Series

Gaussian White Noise to WV

Computes the (MODWT) wavelet variance