Linear Time Series Analysis
Simulate General Linear Process
Autocorrelations to AR parameters
Durbin-Levinsion Loglikelihood
Prediction residuals
Simulate linear time series
Exact log-likelihood and MLE for variance
Nonparametric estimate of the innovation variance
test if argument is a symmetric Toeplitz matrix
Linear Time Series Analysis
Prediction variance
Simulate GLP given innovations
theoretical autocovariance function (acvf) of ARMA
Inverse of Toeplitz matrix of order n+1 given inverse of order n
Minimum Mean Square Forecast
compute the matrix inverse of a positive-definite Toepliz matrix
Loglikelihood function of stationary time series using Trench algorith...
Exact MLE for mean given the autocorrelation function
Methods of developing linear time series modelling. Methods are given for loglikelihood computation, forecasting and simulation.