G13 Chapter Contents : NAG Library Manual, Mark 26

Routine Name	Mark of Introduction	Purpose
g13aaf Example Text Example Data	9	nagf_tsa_uni_diff Univariate time series, seasonal and non-seasonal differencing
g13abf Example Text Example Data Example Plot	9	nagf_tsa_uni_autocorr Univariate time series, sample autocorrelation function
g13acf Example Text Example Data Example Plot	9	nagf_tsa_uni_autocorr_part Univariate time series, partial autocorrelations from autocorrelations
g13adf Example Text Example Data	9	nagf_tsa_uni_arima_prelim Univariate time series, preliminary estimation, seasonal ARIMA model
g13aef Example Text Example Data	9	nagf_tsa_uni_arima_estim Univariate time series, estimation, seasonal ARIMA model (comprehensive)
g13aff Example Text Example Data	9	nagf_tsa_uni_arima_estim_easy Univariate time series, estimation, seasonal ARIMA model (easy-to-use)
g13agf Example Text Example Data	9	nagf_tsa_uni_arima_update Univariate time series, update state set for forecasting
g13ahf Example Text Example Data	9	nagf_tsa_uni_arima_forecast_state Univariate time series, forecasting from state set
g13ajf Example Text Example Data	10	nagf_tsa_uni_arima_forcecast Univariate time series, state set and forecasts, from fully specified seasonal ARIMA model
g13amf Example Text Example Data	22	nagf_tsa_uni_smooth_exp Univariate time series, exponential smoothing
g13asf Example Text Example Data	13	nagf_tsa_uni_arima_resid Univariate time series, diagnostic checking of residuals, following g13aef or g13aff
g13auf Example Text Example Data Example Plot	14	nagf_tsa_uni_means Computes quantities needed for range-mean or standard deviation-mean plot
g13awf Example Text Example Data	25	nagf_tsa_uni_dickey_fuller_unit Computes (augmented) Dickey–Fuller unit root test statistic
g13baf Example Text Example Data	10	nagf_tsa_multi_filter_arima Multivariate time series, filtering (pre-whitening) by an ARIMA model
g13bbf Example Text Example Data	11	nagf_tsa_multi_filter_transf Multivariate time series, filtering by a transfer function model
g13bcf Example Text Example Data	10	nagf_tsa_multi_xcorr Multivariate time series, cross-correlations
g13bdf Example Text Example Data	11	nagf_tsa_multi_transf_prelim Multivariate time series, preliminary estimation of transfer function model
g13bef Example Text Example Data	11	nagf_tsa_multi_inputmod_estim Multivariate time series, estimation of multi-input model
g13bgf Example Text Example Data	11	nagf_tsa_multi_inputmod_update Multivariate time series, update state set for forecasting from multi-input model
g13bhf Example Text Example Data	11	nagf_tsa_multi_inputmod_forecast_state Multivariate time series, forecasting from state set of multi-input model
g13bjf Example Text Example Data	11	nagf_tsa_multi_inputmod_forecast Multivariate time series, state set and forecasts from fully specified multi-input model
g13caf Example Text Example Data	10	nagf_tsa_uni_spectrum_lag Univariate time series, smoothed sample spectrum using rectangular, Bartlett, Tukey or Parzen lag window
g13cbf Example Text Example Data	10	nagf_tsa_uni_spectrum_daniell Univariate time series, smoothed sample spectrum using spectral smoothing by the trapezium frequency (Daniell) window
g13ccf Example Text Example Data	10	nagf_tsa_multi_spectrum_lag Multivariate time series, smoothed sample cross spectrum using rectangular, Bartlett, Tukey or Parzen lag window
g13cdf Example Text Example Data	10	nagf_tsa_multi_spectrum_daniell Multivariate time series, smoothed sample cross spectrum using spectral smoothing by the trapezium frequency (Daniell) window
g13cef Example Text Example Data	10	nagf_tsa_multi_spectrum_bivar Multivariate time series, cross amplitude spectrum, squared coherency, bounds, univariate and bivariate (cross) spectra
g13cff Example Text Example Data	10	nagf_tsa_multi_gain_bivar Multivariate time series, gain, phase, bounds, univariate and bivariate (cross) spectra
g13cgf Example Text Example Data	10	nagf_tsa_multi_noise_bivar Multivariate time series, noise spectrum, bounds, impulse response function and its standard error
g13dbf Example Text Example Data	11	nagf_tsa_multi_autocorr_part Multivariate time series, multiple squared partial autocorrelations
g13ddf Example Text Example Data	22	nagf_tsa_multi_varma_estimate Multivariate time series, estimation of VARMA model
g13djf Example Text Example Data	15	nagf_tsa_multi_varma_forecast Multivariate time series, forecasts and their standard errors
g13dkf Example Text Example Data	15	nagf_tsa_multi_varma_update Multivariate time series, updates forecasts and their standard errors
g13dlf Example Text Example Data	15	nagf_tsa_multi_diff Multivariate time series, differences and/or transforms
g13dmf Example Text Example Data	15	nagf_tsa_multi_corrmat_cross Multivariate time series, sample cross-correlation or cross-covariance matrices
g13dnf Example Text Example Data	15	nagf_tsa_multi_corrmat_partlag Multivariate time series, sample partial lag correlation matrices, $χ^{2}$ statistics and significance levels
g13dpf Example Text Example Data	16	nagf_tsa_multi_regmat_partial Multivariate time series, partial autoregression matrices
g13dsf Example Text Example Data	13	nagf_tsa_multi_varma_diag Multivariate time series, diagnostic checking of residuals, following g13ddf
g13dxf Example Text Example Data	15	nagf_tsa_uni_arma_roots Calculates the zeros of a vector autoregressive (or moving average) operator
g13eaf Example Text Example Data	17	nagf_tsa_multi_kalman_sqrt_var Combined measurement and time update, one iteration of Kalman filter, time-varying, square root covariance filter
g13ebf Example Text Example Data	17	nagf_tsa_multi_kalman_sqrt_invar Combined measurement and time update, one iteration of Kalman filter, time-invariant, square root covariance filter
g13ejf Example Text Example Data Example Plot	25	nagf_tsa_kalman_unscented_state_revcom Combined time and measurement update, one iteration of the Unscented Kalman Filter for a nonlinear state space model, with additive noise (reverse communication)
g13ekf Example Text Example Data Example Plot	25	nagf_tsa_kalman_unscented_state Combined time and measurement update, one iteration of the Unscented Kalman Filter for a nonlinear state space model, with additive noise
g13faf Example Text Example Data	20	nagf_tsa_uni_garch_asym1_estim Univariate time series, parameter estimation for either a symmetric GARCH process or a GARCH process with asymmetry of the form ${(ε_{t - 1} + γ)}^{2}$
g13fbf	20	nagf_tsa_uni_garch_asym1_forecast Univariate time series, forecast function for either a symmetric GARCH process or a GARCH process with asymmetry of the form ${(ε_{t - 1} + γ)}^{2}$
g13fcf Example Text Example Data	20	nagf_tsa_uni_garch_asym2_estim Univariate time series, parameter estimation for a GARCH process with asymmetry of the form ${(\|ε_{t - 1}\| + γ ε_{t - 1})}^{2}$
g13fdf	20	nagf_tsa_uni_garch_asym2_forecast Univariate time series, forecast function for a GARCH process with asymmetry of the form ${(\|ε_{t - 1}\| + γ ε_{t - 1})}^{2}$
g13fef Example Text Example Data	20	nagf_tsa_uni_garch_gjr_estim Univariate time series, parameter estimation for an asymmetric Glosten, Jagannathan and Runkle (GJR) GARCH process
g13fff	20	nagf_tsa_uni_garch_gjr_forecast Univariate time series, forecast function for an asymmetric Glosten, Jagannathan and Runkle (GJR) GARCH process
g13fgf Example Text Example Data	20	nagf_tsa_uni_garch_exp_estim Univariate time series, parameter estimation for an exponential GARCH (EGARCH) process
g13fhf	20	nagf_tsa_uni_garch_exp_forecast Univariate time series, forecast function for an exponential GARCH (EGARCH) process
g13mef Example Text Example Data Example Plot	24	nagf_tsa_inhom_iema Computes the iterated exponential moving average for a univariate inhomogeneous time series
g13mff Example Text Example Data	24	nagf_tsa_inhom_iema_all Computes the iterated exponential moving average for a univariate inhomogeneous time series, intermediate results are also returned
g13mgf Example Text Example Data	24	nagf_tsa_inhom_ma Computes the exponential moving average for a univariate inhomogeneous time series
g13naf Example Text Example Data Example Plot	25	nagf_tsa_cp_pelt Change point detection, using the PELT algorithm
g13nbf Example Text Example Data Example Plot	25	nagf_tsa_cp_pelt_user Change points detection using the PELT algorithm, user supplied cost function
g13ndf Example Text Example Data Example Plot	25	nagf_tsa_cp_binary Change point detection, using binary segmentation
g13nef Example Text Example Data Example Plot	25	nagf_tsa_cp_binary_user Change point detection, using binary segmentation, user supplied cost function

NAG Library Chapter Contents

G13 (tsa)
Time Series Analysis

NAG Library Chapter Contents

G13 (tsa)Time Series Analysis

G13 (tsa)
Time Series Analysis