swMATH11210CRANitsmrMaRDI QIDQ23157FDOQ23157
Time Series Analysis Using the Innovations Algorithm
Last update: 6 August 2022
Copyright license: FreeBSD
Software version identifier: 1.10
Official website: http://cran.r-project.org/web/packages/itsmr/index.html
Source code repository: https://github.com/cran/itsmr
Cited In (only showing first 100 items - show all)
- On conditional covariance modelling: an approach using state space models
- Pairs trading with partial cointegration
- Incompatibility of trends in multi-year estimates from the American community survey
- Two sample tests for high-dimensional autocovariances
- Finite-sample properties of estimators for first and second order autoregressive processes
- A mixed iteration for nonnegative matrix factorizations
- 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
- Analyzing growth components in trees
- Detecting outlying series in sets of short time series
- Modelling corporate bank accounts
- Dependent functional data
- A new procedure in stock market forecasting based on fuzzy random auto-regression time series model
- Semiparametrically point-optimal hybrid rank tests for unit roots
- A single-index model procedure for interpolation intervals in time series
- Simple detection of outlying short time series
- The modified Yule-Walker method for \(\alpha\)-stable time series models
- Whiteness constraints in a unified variational framework for image restoration
- Distribution-free lack-of-fit tests in balanced mixed models
- Fractionally differenced Gegenbauer processes with long memory: a review
- Title not available (Why is that?)
- Efficient parameter estimation for independent and INAR(1) negative binomial samples
- 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
- APPLICATION OF THE EXACT INVERSE OF THE TOEPLITZ MATRIX TO THE AUTOREGRESSIVE MODEL
- Clustering of financial instruments using jump tail dependence coefficient
- Identifying financial time series with similar dynamic conditional correlation
- An angular-linear time series model for waveheight prediction
- A data-based regional scale autoregressive rainfall-runoff model: a study from the Odra river
- Modeling nonlinearities with mixtures-of-experts of time series models
- On time series model selection involving many candidate ARMA models
- Time series models based on the unrestricted skew-normal process
- Hybid shrinkage estimators using penalty bases for the ordinal one-way layout
- 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
- Cepstral identification of autoregressive systems
- A modeling approach for evaluating capacity flexibilities in uncertain markets
- Chebyshev similarity match between uncertain time series
- Selection between models through multi-step-ahead forecasting
- \(k\)th-order Markov extremal models for assessing heatwave risks
- Identification and validation of stable ARFIMA processes with application to UMTS data
- Observation-driven generalized state space models for categorical time series
- Learning can generate long memory
- Some weighted mixed portmanteau tests for diagnostic checking in linear time series models
- Empirical likelihood methods for discretely observed Gaussian moving averages
- ARbiascorrect
- A class of Gaussian hybrid processes for modeling financial markets
- Using wavelet analysis to uncover the co-movement behavior of multiple energy commodity prices
- Robust estimation of linear state space models
- Data-based stochastic model reduction for the Kuramoto-Sivashinsky equation
- A review of some modern approaches to the problem of trend extraction
- Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient
- Harmonic regression and scale stability
- An alternative approach to characterize time series data: Case study on Malaysian rainfall data
- Large deviations of regression parameter estimate in the models with stationary sub-Gaussian noise
- Weak convergence of marked empirical processes for focused inference on \(\mathrm{AR}(p)\) vs \(\mathrm{AR}(p+1)\) stationary time series
- Discussion of: ``A statistical analysis of multiple temperature proxies: are reconstructions of surface temperatures over the last 1000 years reliable?
- A model-free test for independence between time series
- Monitoring mean changes in persistent multivariate time series
- Synthesis of multivariate stationary series with prescribed marginal distributions and covariance using circulant matrix embedding
- The impact on ruin probabilities of the association structure among financial risks
- Dimensional reduction of conditional algebraic multi-information via transcripts
- Title not available (Why is that?)
- Generalized choice models for categorical time series
- Computing bounds on the expected maximum of correlated normal variables
- Spectral norm of circulant-type matrices
- QARIMA: a new approach to prediction in queue theory
- A bivariate INAR(1) model with different thinning parameters
- Forecasting nonstationary time series based on Hilbert-Huang transform and machine learning
- Visual analysis of categorical time series
- Evaluating and extending the Lee\,-\,Carter model for mortality forecasting: bootstrap confidence interval
- Measurement error. Models, methods and applications
- Natural gas cash-out problem: bilevel stochastic optimization approach
- A hierarchical Ornstein-Uhlenbeck model for continuous repeated measurement data
- Open problems in universal induction \& intelligence
- A Fourier analysis of extreme events
- Functional convergence of linear processes with heavy-tailed innovations
- Time series. Modeling, computation, and inference.
- Title not available (Why is that?)
- Title not available (Why is that?)
- Estimation in a class of nonlinear heteroscedastic time series models
- Characterization of periodically correlated and multivariate stationary discrete time wide Markov processes
- A study of singular spectrum analysis with global optimization techniques
- Filtering nonlinear spatio-temporal chaos with autoregressive linear stochastic models
- An algebraic method for constructing stable and consistent autoregressive filters
- The exact density of the sum of independent skew normal random variables
- Singular spectrum analysis based on the perturbation theory
- Generalized Levinson-Durbin sequences, binomial coefficients and autoregressive estimation
- A randomness test for functional panels
- Estimation error for blind Gaussian time series prediction
- Singular spectrum analysis based on the minimum variance estimator
- The infinitesimal model: definition, derivation, and implications
- On the structure of generalized threshold ARCH processes
- Maximum of entropy and extension of covariance matrices for periodically correlated and multivariate processes.
- On diagnostics in conditionally heteroskedastic time series models under elliptical distributions
- On two classes of reflected autoregressive processes
- Title not available (Why is that?)
- Prediction of sea surface temperature in the tropical Atlantic by support vector machines
- Estimation of autocovariance matrices for high dimensional linear processes
- Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion
This page was built for software: itsmr
