Name 

Description 

 

ACF 

Autocorrelation/autocovariance function. 

 

ARARFit 

Fit ARAR algorithm. 

 

ARARForecast 

Forecast time series by ARAR. 

 

ARBurgFit 

Burg AR estimation. 

 

ARIMASimulate 

Simulate the ARIMA process. 

 

ARMAAcf 

Estimates autocorrelation/autocovariance function for the ARMA model. 

 

ARMAForecast 

Forecast time series by using ARMA(p,q) model. 

 

ARMAHannahFit 

Hannah-Rissanen ARMA estimation. 

 

ARMAInnovationsFit 

Innovations ARMA estimation. 

 

ARMAInnovationsFit 

Innovations ARMA estimation. 

 

ARMAKappa 

ARMA process covariances. 

 

ARMAKappa 

Calculate necessary covariances for ARMA(p,q) process up to kappa(KappaSize,KappaSize) 

 

ARMALogLike 

-2log likelihood. 

 

ARMAMLE 

Estimate ARMA process AR and MA coefficients. 

 

ARMAPredictors 

ARMA model one-step ahead predictors. 

 

ARMASimulate 

Simulate the ARMA (p,q) process. 

 

ARYuleWalkerFit 

Yule-Walker AR estimation. 

 

AutoCov 

Autocovariance function. 

 

BoxCox 

Box-Cox transformation. 

 

BoxCoxInv 

Inverse Box-Cox transformation. 

 

BoxLjung 

The box-Ljung statistics. 

 

CheckARMACoeffs 

Check AR(MA) coeefficients. 

 

CheckARMACoeffs 

This is function StatTimeSerAnalysis.CheckARMACoeffs. 

 

DoubleExpForecast 

Double exponential forecast. 

 

DoubleExpForecast 

First estimate Alpha and Gamma parameters by double smoothing and then use returned values to forecast up to T periods. 

 

DoubleExpSmooth 

Double exponential smoothing. 

 

DoubleExpSmooth 

In this case a fixed smoothing constants Alpha, Gamma are used in smoothing equations (no minimization is performed). 

 

DurbinLevinson 

The Durbin-Levinson algorithm. 

 

DurbinWatson 

Calculates the Durbin-Watson statistic 

 

Innovations 

Uses the Innnovations algorithm to recursively calculate Theta[1,1]...Theta[n,n] coefficients (all coefficients). 

 

Innovations 

The innovations algorithm. 

 

InvTransformParams 

This is function StatTimeSerAnalysis.InvTransformParams. 

 

MovingAverage 

Single moving average. 

 

PACF 

Partial autocorelation function. 

 

PACF 

Partial autocorrelation function. 

 

ShortenFilter 

Memory-shortening filter. 

 

SingleExpForecast 

Single exponential forecast. 

 

SingleExpForecast 

rst estimate Alpha parameters by single smoothing and then use returned value to forecast up to T periods. 

 

SingleExpSmooth 

Single exponential smoothing. 

 

SingleExpSmooth 

In this case a fixed smoothing constant Alpha is used in smoothing equations (no minimization is performed). 

 

TimeSeriesIntInit 

Setup initial values for integrating ARMA series. 

 

TransformParams 

This is function StatTimeSerAnalysis.TransformParams. 

 

TripleExpForecast 

Triple exponential forecast. 

 

TripleExpForecast 

First estimate Alpha, Beta and Gamma parameters by triple exponential smoothing and then use returned values to forecast up to T periods. 

 

TripleExpSmooth 

Triple exponential smoothing. 

 

TripleExpSmooth 

In this case a fixed smoothing constants Alpha, Beta and Gamma are used in smoothing equations (no minimization is performed).