G13 Chapter Contents : NAG Library Manual, Mark 27

Routine	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 FL InterfaceG13 (Tsa)Time Series Analysis

NAG FL Interface
G13 (Tsa)
Time Series Analysis