Time Series Functions


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acf Calculate Sample Autocorrelation Function
acf1 Calculate Sample Autocorrelation Function
arcorr Calculate AR Autocorrelation Function
ardt Simulate Data from an AR Process
arfilt Apply an AR Filter to a Matrix
arma Form Plots Illustrating Patterns in ARMA Processes
armacorr Calculate ARMA Autocorrelation Function
armadt Simulate Data from an ARMA Process
armapart Calculate ARMA Partial Autocorrelation Function
armapred Calculate Exact Predictions for an ARMA Process
armasp Calculate ARMA Spectral Density Function
arpart Calculate AR Partial Autocorrelation Function
arsp Calculate AR Spectral Density
arsppeak Find Peak Frequencies in AR Spectra
clip Clip a Vector Above and Below
coeffcsd Calculate Asymptotic Standard Errors of ARMA MLE's
corrar Calculate AR Parameters from Autocorrelations
corrarma Calculate ARMA Parameters from Autocorrelations
corrdt Simulate Data Having Specified Autocorrelations
corrma Calculate MA Parameters from Autocorrelations
crlag Apply the Circular Shift Operator to a Vector
diffeq Find Future Values of a Difference Equation
divpoly Divide Two Polynomials
dot Calculate Inner Product of Two Vectors
dtarma Calculate Exact ARMA MLE's
filt Apply a Linear Filter to a Vector
freqs Form Vector of Natural (Nyquist) Frequencies
infqnt Plot Informative Quantile Function of a Data Set
macorr Calculate MA Autocorrelation Function
madt Simulate Data from an MA Process
masmooth Apply Moving Average Smoother to a Vector (S Version)
masp Calculate MA Spectral Density Function
movave Apply Moving Average Smoother to a Vector (Fortran Version)
movbox Form Quantities Needed for Moving Box Plot
movord Apply Moving Order Statistic Operator to a Vector
multpoly Multiply Two Polynomials
odot Form Outer Product of Two Vectors
pacf Calculate Sample Partial Autocorrelation Function
partar Calculate AR Coefficients from Autocorrelations
perdgm Calculate Periodogram of a Time Series
plotsp Form Plot of a (True or Sample) Spectral Density
polyrt Find the Roots of a Polynomial Given its Coefficients
rtpoly Find the Coefficients of a Polynomial Given its Roots
rw Simulate Data from a Random Walk Process
schur Form the Schur Matrix Corresponding to AR Parameters
seasest Calculate Box-Jenkins Estimates for a Seasonal ARIMA Model
seaspred Calculate Box-Jenkins Forecasts
simcfs Simulate Coeff. of a Polynomial with Zeros Outside Unit Circle
stdf Standardize a Vector
swp Sweep a Matrix
swq Sweep a Matrix
tlpoly Evaluate a Polynomial at a Vector of Points
toepl Form Symmetric Toeplitz Matrix Given its First Row
tsvar Calculate Sample Variance of a Time Series
windowf Calculate Nonparamteric Spectral Density Estimate
wn Simulate White Noise Data
wntest Form Plots for White Noise Test