Part XII. ARMA and VARMA tools

Table of Contents

acf — autocorrelation function
arma2param — explodes a Varmax model for estimation uses
arma_dv — Computes the partial derivatives in a VARMA model
mak — centered moving average for a matrix
makts — centered moving average for a time series
maok — k-periods uncentered moving average for a matrix
maokts — k-periods uncentered moving average for a time series
pacf — Partial autocorrelation function
theta2arm2 — transformation of VARMA estimate into the corresponding matrices
theta2arma — transformation of VARMA model into its reduced form
transf_roots — reverses roots lower than 1 in a L polynom
varma — estimation of a (V)ARMA(X) model
varmaf — forecasts from a VARMA model