itsmr
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Itsmr
Description
Provides functions for modeling and forecasting time series data. Forecasting is based on the innovations algorithm. A description of the innovations algorithm can be found in the textbook "Introduction to Time Series and Forecasting" by Peter J. Brockwell and Richard A. Davis.
Cited in
(only showing first 100 items - show all)- Some aspects of extreme value statistics under serial dependence
- Modeling churn using customer lifetime value
- On time series model selection involving many candidate ARMA models
- Computing and using residuals in time series models
- On the power transformation of kernel-based tests for serial correlation in vector time series: some finite sample results and a comparison with the bootstrap
- Clustering heteroskedastic time series by model-based procedures
- Estimation of autoregressive models with epsilon-skew-normal innovations
- A modeling approach for evaluating capacity flexibilities in uncertain markets
- A hierarchical Ornstein-Uhlenbeck model for continuous repeated measurement data
- Observation-driven generalized state space models for categorical time series
- ARfit
- Prediction via estimating functions
- ITSM
- JMulTi
- Volatility analysis with realized GARCH-Itô models
- ARbiascorrect
- tsfknn
- PcGets
- POMDPS
- Detecting outlying series in sets of short time series
- AS 182
- The modified Yule-Walker method for \(\alpha\)-stable time series models
- Fractionally differenced Gegenbauer processes with long memory: a review
- OMNet++
- A note on joint functional convergence of partial sum and maxima for linear processes
- Embedding in law of discrete time ARMA processes in continuous time stationary processes
- On conditional covariance modelling: an approach using state space models
- A new approach for selecting the number of the eigenvalues in singular spectrum analysis
- Open problems in universal induction \& intelligence
- Chebyshev similarity match between uncertain time series
- \(k\)th-order Markov extremal models for assessing heatwave risks
- Identification and validation of stable ARFIMA processes with application to UMTS data
- Data-based stochastic model reduction for the Kuramoto-Sivashinsky equation
- STABLE
- RegEM
- Bootstrap for correcting the mean square error of prediction and smoothed estimates in structural models
- Moving horizon estimation for ARMAX processes with additive output noise
- Identification of symmetric noncausal processes
- The infinitesimal model: definition, derivation, and implications
- Optimal design of Shewhart-Lepage type schemes and its application in monitoring service quality
- Direct data-based decision making under uncertainty
- An interpolation algorithm for multivariate ARMA processes
- Whittle estimation in a heavy-tailed GARCH(1,1) model.
- Mathematical models for dynamics of molecular processes in living biological cells a single particle tracking approach
- Whiteness constraints in a unified variational framework for image restoration
- GATE
- Maximum of entropy and extension of covariance matrices for periodically correlated and multivariate processes.
- Simple detection of outlying short time series
- Stochastic implied volatility. A factor-based model.
- A class of shrinkage priors for the dependence structure in longitudinal data
- Weak convergence of marked empirical processes for focused inference on \(\mathrm{AR}(p)\) vs \(\mathrm{AR}(p+1)\) stationary time series
- LS-SVMlab
- gcmr
- Stable and generalized-\(t\) distributions and applications
- The ARMA alphabet soup: a tour of ARMA model variants
- Dependent functional data
- ORIOGEN
- The use of forecast gradients in 3DVar data assimilation
- Forecast
- Thinning operations for modeling time series of counts -- a survey
- tmvtnorm
- A mixed iteration for nonnegative matrix factorizations
- FitAR
- Koopman operator framework for time series modeling and analysis
- Estimation of autocovariance matrices for high dimensional linear processes
- Improve concentration of frequency and time (ConceFT) by novel complex spherical designs
- Modelling corporate bank accounts
- Bayesian inference over the Stiefel manifold via the Givens representation
- Estimating variances in time series kriging using convex optimization and empirical BLUPs
- Wave-shape oscillatory model for nonstationary periodic time series analysis
- Convergence rate bounds for iterative random functions using one-shot coupling
- Methods to compute prediction intervals: a review and new results
- Penalised likelihood methods for phase-type dimension selection
- Asymptotic analysis of synchrosqueezing transform -- toward statistical inference with nonlinear-type time-frequency analysis
- Sulewski plasticizing component distribution: properties and applications
- Cepstral identification of autoregressive systems
- Quantifying the data-dredging bias in structural break tests
- Modeling and forecasting the spread and death rate of coronavirus (COVID-19) in the world using time series models
- Data-driven model reduction, Wiener projections, and the Koopman-Mori-Zwanzig formalism
- 2-D Rayleigh autoregressive moving average model for SAR image modeling
- Generalized maximum entropy based identification of graphical ARMA models
- Semi-Lévy driven continuous-time GARCH process
- SsfPack
- STAMP
- Modeling of water usage by means of ARFIMA-GARCH processes
- PerformanceAnalytics
- A new procedure in stock market forecasting based on fuzzy random auto-regression time series model
- Semi-automated simultaneous predictor selection for regression-SARIMA models
- Analyzing growth components in trees
- Design of a negative group delay filter via reservoir computing approach: real-time prediction of chaotic signals
- Estimation and inference of time-varying auto-covariance under complex trend: a difference-based approach
- Simulation and tracking of fractional particles motion. From microscopy video to statistical analysis. A Brownian bridge approach
- Correcting the corrected AIC
- Parametric estimation for Gaussian fields indexed by graphs
- RcppEigen
- A single-index model procedure for interpolation intervals in time series
- A model-free test for independence between time series
- Yield and price forecasting for stochastic crop decision planning
- TOMS659
- Computing bounds on the expected maximum of correlated normal variables
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