Grocer >> ARMA and VARMA tools
ARMA and VARMA tools
- 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