pcts

CRANpctsMaRDI QIDQ92279

Periodically Correlated and Periodically Integrated Time Series

Georgi N. Boshnakov

Last update: 25 November 2023

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 0.15.5, 0.14-3, 0.14-4, 0.15.2, 0.15.3, 0.15.4, 0.15.6, 0.15, 0.15.7

Description

Classes and methods for modelling and simulation of periodically correlated (PC) and periodically integrated time series. Compute theoretical periodic autocovariances and related properties of PC autoregressive moving average models. Some original methods including Boshnakov & Iqelan (2009) <doi:10.1111/j.1467-9892.2009.00617.x>, Boshnakov (1996) <doi:10.1111/j.1467-9892.1996.tb00281.x>.

Cites work

• Generation Of Time Series Models With Given Spectral Properties
• RECURSIVE COMPUTATION OF THE PARAMETERS OF PERIODIC AUTOREGRESSIVE MOVING-AVERAGE PROCESSES

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