Time series package (TSPACK)

The time series package (TSPACK) described in the present book is one of the software packages which enable to perform a versatile time series analysis. It was designed at the University of Lausanne during the period 1980-1983 and is fully written in FORTRAN 77 which allows its transfer to any kind of computer implemented with a FORTRAN ANSI 77 compiler. The main scope of TSPACK is to provide ready-made time series procedures to researchers dealing with time series data (e.g. to economists, social scientists, psychologists, biologists, etc.). Some procedures (such as matrix manipulation or data extraction and sorting) are applicable in general numerical analysis. The procedures of TSPACK can be divided into the following six categories: 1) analysis of univariate and bivariate time series in the time domain including the Box-Jenkins approach; 2) analysis of univariate and bivariate time series in the frequency domain (spectral analysis); 3) filtering in time and frequency domains, impulse response and transfer function analysis; 4) data handling procedures (input/output, plotting, data generation and transformation, out-of-core data storage); 5) some numerical analysis procedures (random numbers generation, cubic spline interpolation, matrix inversion or factorization, linear and nonlinear least squares estimation, polynomial fit); 6) general purpose routines (arrays and files sorting, fractile extraction, run-time error messages, etc.). Each of the procedure descriptions consists of a FORTRAN 77 listing with an overview of the function's tasks, method and algorithm used and references to books or periodicals.

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