Chapter 8 Time Series Analysis and Forecasting
Routines
General Methodology
Time Series Transformation
Box-Cox transformation
, BCTRNonseasonal and seasonal difference
, DIFFDetermines an optimal differencing for seasonal
adjustment of a time series
, SEASONAL_FITSample Correlation Function
Autocorrelation function
, ACFPartial autocorrelation function
, PACFCross-correlation function
, CCFMultichannel cross-correlation function
, MCCFTime Domain Methodology
Nonseasonal Time Series Model Estimation
Method of moments estimation of AR parameters
, ARMMEMethod of moments estimation of MA parameters
, MAMMEPreliminary estimation of ARMA parameters
, NSPELeast-squares estimation of ARMA models
, NSLSEMaximum likelihood estimation of ARMA models
, MAX_ARMAFit a univariate, non-seasonal ARIMA time series model
, REG_ARIMAEstimation of GARCH (
p,
q) models.
, GARCHWiener forecast operator estimates
, SPWFBox-Jenkins forecast
, NSBJFTransfer Function Model
Estimation of impulse response and noise series
, IRNSEPreliminary estimation of parameters
, TFPEMultichannel Time Series
Least-squares estimation of parameters
, MLSEEstimation of multichannel Wiener filter
, MWFEAutomatic Model Selection Fitting
Detects and determines outliers and simultaneously estimates
the model parameters in a time series
, TS_OUTLIER_IDENTIFICATIONAutomatic ARIMA modeling and forecasting in the presence
of possible outliers
, AUTO_ARIMAEstimates structural breaks in non-stationary univariate
time series models
, AUTO_PARMBayesian Time Series Estimation
Bayesian seasonal adjustment modeling
, BAY_SEAController Design
Diagnostics
Lack of fit test based on the correlation function
, LOFCFFrequency Domain Methodology
Smoothing Functions
Dirichlet kernel function
, DIRICFejér kernel function
, FEJERSpectral Density Estimation
Periodogram using fast Fourier transform
, PFFTUsing spectral window given data
, SSWDUsing spectral window given periodogram
, SSWPUsing weight sequence given data
, SWEDUsing weight sequence given periodogram
, SWEPCross-Spectral Density Estimation
Cross periodogram using fast Fourier transform
, CPFFTUsing spectral window given data
, CSSWDUsing spectral window given cross periodogram
, CSSWPUsing weight sequence given data
, CSWEDUsing weight sequence given cross periodogram
, CSWEP