new time series package available
Adrian.Trapletti at wu-wien.ac.at
Thu Jul 8 18:20:44 CEST 1999
Fritz just put the first version of a new time series package to the
contrib section at CRAN.
The package is called "tseries.tgz" and provides a library for time
series analysis. It contains
acf Autocorrelation Function
adf.test Augmented Dickey-Fuller Test
amif Auto Mutual Information Function
bds.test BDS Test
box.test Box-Pierce and Box-Ljung Test
ccf Crosscorrelation Function
cross spectra Cross Spectra Estimation (cross spectrum,
cospectrum, quadrature spectrum, amplitude
phase spectrum, and absolute coherency
cumulative.periodogram Cumulative Periodogram
embed Embedding a Time Series
finance Daily Closing Prices of Major European Stock
intgrt Discrete Integrals
is.univariate.ts Test for Univariate Time Series
kernel Smoothing Kernel Objects
pacf Partial Autocorrelation Function
portfolio.optim Portfolio Optimization
pp.test Phillips-Perron Unit Root Test
print.bdstest Print BDS Test
quadmap Quadratic Map (Logistic Equation)
read.matrix Read Matrix Data
read.ts Read Time Series Data
runs.test Runs Test
sales Sales Data with Leading Indicator.
spectrum Spectrum Estimation
sunspot Yearly Sunspot Data, 1700-1988. Monthly
Sunspot Data, 1749-1997.
surrogate Generate Surrogate Data
toeplitz Form Symmetric Toeplitz Matrix
treering Yearly Treering Data, -6000-1979.
tsparam Time Series Paramater Object
and should be more or less well documented. The library is a port of a
part of my
octave time series library, and, at the moment it does not contain
estimating particular time series models. However, I plan to port my VAR
MLE methodology) and to implement MLE of ARMA models within the next few
thanks to Ross: I used some of his ideas to implement the "tsparam" and
the "kernel" classes.
Testing, suggestions, and comments are welcome!
Adrian Trapletti, Vienna University of Economics and Business
Administration, Augasse 2-6, A-1090 Vienna, Austria
Phone: ++43 1 31336 4561, Fax: ++43 1 31336 708,
Email: adrian.trapletti at wu-wien.ac.at
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