G13 Chapter Contents : NAG Library CL Interface Manual, Mark 27

Function	Mark of Introduction	Purpose
g13aac Example Text Example Data	7	nag_tsa_uni_diff Univariate time series, seasonal and non-seasonal differencing
g13abc Example Text Example Data	2	nag_tsa_uni_autocorr Sample autocorrelation function
g13acc Example Text Example Data	2	nag_tsa_uni_autocorr_part Partial autocorrelation function
g13amc Example Text Example Data	9	nag_tsa_uni_smooth_exp Univariate time series, exponential smoothing
g13asc Example Text Example Data	6	nag_tsa_uni_arima_resid Univariate time series, diagnostic checking of residuals, following g13bec
g13auc Example Text Example Data Example Plot	7	nag_tsa_uni_means Computes quantities needed for range-mean or standard deviation-mean plot
g13awc Example Text Example Data	25	nag_tsa_uni_dickey_fuller_unit Computes (augmented) Dickey–Fuller unit root test statistic
g13bac Example Text Example Data	7	nag_tsa_multi_filter_arima Multivariate time series, filtering (pre-whitening) by an ARIMA model
g13bbc Example Text Example Data	7	nag_tsa_multi_filter_transf Multivariate time series, filtering by a transfer function model
g13bcc Example Text Example Data	7	nag_tsa_multi_xcorr Multivariate time series, cross-correlations
g13bdc Example Text Example Data	7	nag_tsa_multi_transf_prelim Multivariate time series, preliminary estimation of transfer function model
g13bec Example Text Example Data	2	nag_tsa_multi_inputmod_estim Estimation for time series models
g13bgc Example Text Example Data	8	nag_tsa_multi_inputmod_update Multivariate time series, update state set for forecasting from multi-input model
g13bjc Example Text Example Data	2	nag_tsa_multi_inputmod_forecast Forecasting function
g13bxc	2	nag_tsa_options_init Initialization function for option setting
g13byc	2	nag_tsa_transf_orders Allocates memory to transfer function model orders
g13bzc	2	nag_tsa_trans_free Freeing function for the structure holding the transfer function model orders
g13cac Example Text Example Data	7	nag_tsa_uni_spectrum_lag Univariate time series, smoothed sample spectrum using rectangular, Bartlett, Tukey or Parzen lag window
g13cbc Example Text Example Data	4	nag_tsa_uni_spectrum_daniell Univariate time series, smoothed sample spectrum using spectral smoothing by the trapezium frequency (Daniell) window
g13ccc Example Text Example Data	7	nag_tsa_multi_spectrum_lag Multivariate time series, smoothed sample cross spectrum using rectangular, Bartlett, Tukey or Parzen lag window
g13cdc Example Text Example Data	4	nag_tsa_multi_spectrum_daniell Multivariate time series, smoothed sample cross spectrum using spectral smoothing by the trapezium frequency (Daniell) window
g13cec Example Text Example Data	4	nag_tsa_multi_spectrum_bivar Multivariate time series, cross amplitude spectrum, squared coherency, bounds, univariate and bivariate (cross) spectra
g13cfc Example Text Example Data	4	nag_tsa_multi_gain_bivar Multivariate time series, gain, phase, bounds, univariate and bivariate (cross) spectra
g13cgc Example Text Example Data	4	nag_tsa_multi_noise_bivar Multivariate time series, noise spectrum, bounds, impulse response function and its standard error
g13dbc Example Text Example Data	7	nag_tsa_multi_autocorr_part Multivariate time series, multiple squared partial autocorrelations
g13ddc Example Text Example Data	8	nag_tsa_multi_varma_estimate Multivariate time series, estimation of VARMA model
g13djc Example Text Example Data	8	nag_tsa_multi_varma_forecast Multivariate time series, forecasts and their standard errors
g13dkc Example Text Example Data	8	nag_tsa_multi_varma_update Multivariate time series, updates forecasts and their standard errors
g13dlc Example Text Example Data	7	nag_tsa_multi_diff Multivariate time series, differences and/or transforms
g13dmc Example Text Example Data	7	nag_tsa_multi_corrmat_cross Multivariate time series, sample cross-correlation or cross-covariance matrices
g13dnc Example Text Example Data	7	nag_tsa_multi_corrmat_partlag Multivariate time series, sample partial lag correlation matrices, $χ^{2}$ statistics and significance levels
g13dpc Example Text Example Data	7	nag_tsa_multi_regmat_partial Multivariate time series, partial autoregression matrices
g13dsc Example Text Example Data	8	nag_tsa_multi_varma_diag Multivariate time series, diagnostic checking of residuals, following g13ddc
g13dxc Example Text Example Data	7	nag_tsa_uni_arma_roots Calculates the zeros of a vector autoregressive (or moving average) operator
g13eac Example Text	3	nag_tsa_multi_kalman_sqrt_var One iteration step of the time-varying Kalman filter recursion using the square root covariance implementation
g13ebc Example Text Example Data	3	nag_tsa_multi_kalman_sqrt_invar One iteration step of the time-invariant Kalman filter recursion using the square root covariance implementation with $(A, C)$ in lower observer Hessenberg form
g13ecc Example Text Example Data	3	nag_tsa_kalman_sqrt_filt_info_var One iteration step of the time-varying Kalman filter recursion using the square root information implementation
g13edc Example Text Example Data	3	nag_tsa_kalman_sqrt_filt_info_invar One iteration step of the time-invariant Kalman filter recursion using the square root information implementation with $(A^{- 1}, A^{- 1} B)$ in upper controller Hessenberg form
g13ejc Example Text Example Data Example Plot	25	nag_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)
g13ekc Example Text Example Data Example Plot	25	nag_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
g13ewc Example Text Example Data	3	nag_tsa_trans_hessenberg_observer Unitary state-space transformation to reduce $(A, C)$ to lower or upper observer Hessenberg form
g13exc Example Text Example Data	3	nag_tsa_trans_hessenberg_controller Unitary state-space transformation to reduce $(B, A)$ to lower or upper controller Hessenberg form
g13fac Example Text	6	nag_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 ${(ε_{t - 1} + γ)}^{2}$
g13fbc	6	nag_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 ${(ε_{t - 1} + γ)}^{2}$
g13fcc Example Text	6	nag_tsa_uni_garch_asym2_estim Univariate time series, parameter estimation for a GARCH process with asymmetry of the form ${(\|ε_{t - 1}\| + γ ε_{t - 1})}^{2}$
g13fdc	6	nag_tsa_uni_garch_asym2_forecast Univariate time series, forecast function for a GARCH process with asymmetry of the form ${(\|ε_{t - 1}\| + γ ε_{t - 1})}^{2}$
g13fec Example Text	6	nag_tsa_uni_garch_gjr_estim Univariate time series, parameter estimation for an asymmetric Glosten, Jagannathan and Runkle (GJR) GARCH process
g13ffc	6	nag_tsa_uni_garch_gjr_forecast Univariate time series, forecast function for an asymmetric Glosten, Jagannathan and Runkle (GJR) GARCH process
g13mec Example Text Example Data Example Plot	24	nag_tsa_inhom_iema Computes the iterated exponential moving average for a univariate inhomogeneous time series
g13mfc Example Text Example Data	24	nag_tsa_inhom_iema_all Computes the iterated exponential moving average for a univariate inhomogeneous time series, intermediate results are also returned
g13mgc Example Text Example Data	24	nag_tsa_inhom_ma Computes the exponential moving average for a univariate inhomogeneous time series
g13nac Example Text Example Data Example Plot	25	nag_tsa_cp_pelt Change point detection, using the PELT algorithm
g13nbc Example Text Example Data Example Plot	25	nag_tsa_cp_pelt_user Change points detection using the PELT algorithm, user supplied cost function
g13ndc Example Text Example Data Example Plot	25	nag_tsa_cp_binary Change point detection, using binary segmentation
g13nec Example Text Example Data Example Plot	25	nag_tsa_cp_binary_user Change point detection, using binary segmentation, user supplied cost function
g13xzc	2	nag_tsa_free Freeing function for use with g13 option setting

NAG CL InterfaceG13 (Tsa)Time Series Analysis

NAG CL Interface
G13 (Tsa)
Time Series Analysis