Time Series, Analysis and Application
acfmat computes a sequence of autocorrelation matrices for a multiva...
acfpacf produces a plot of the acf and the pacf of a time series
armathspec determines the theoretical spectrum of an arma process
aspectratio determines the aspect ratio to plot a time series
bandfilt does a bandpass filtering of a time series
bispeces performs indirect bivariate spectral estimation of two seri...
BoxCox determines the power of a Box-Cox transformation to stabilize...
dynspecest performs a dynamic spectrum estimation
Grangercaus determines three values of BIC from a twodimensional VAR...
HAC Covariance Matrix Estimation HAC computes the central quantity (...
init_values is an auxiliary function for rlassoHAC, for fitting line...
interpol help function for missls
kweightsHAC help function for HAC
lagwinba Bartlett's Lag-window for indirect spectrum estimation
lagwinpa Parzen's Lag-window for indirect spectrum estimation
lagwintu Tukey's Lag-window for indirect spectrum estimation
lambdaCalculationHAC is an auxiliary function for rlassoHAC; it calc...
lambdaCalculationLoad is an auxiliary function for rlassoLoad; it ca...
ldrec does Levinson-Durbin recursion for determing all coefficients ...
LjungBoxPierceTest determines the test statistic and p values for se...
multifractal check mfraccheck computes the absolute empirical moment...
missar Substitution of missing values in a time series by conditiona...
missls substitutes missing values in a time series using the LS appr...
moveav smoothes a time series by moving averages
movemed smoothes a time series by moving medians
outidentify performs one iteration of Wei's iterative procedure to i...
pacfmat sequence of partial autocorrelation matrices and related sta...
periodogram determines the periodogram of a time series
periodotest computes the p-value of the test for a hidden periodicit...
perwinba Bartlett-Priestley window for direct spectral estimation
perwinda Daniell window for direct spectral estimation
perwinpa Parzen's window for direct spectral estimation
pestep help function for missar
polymake generates the coefficients of an AR process given the zeros...
psifair is a psi-function for robust estimation
psihuber is a psi-function for robust estimation
rlassoHAC performs Lasso estimation under heteroscedastic and autoco...
rlassoLoad performs Lasso estimation under heteroscedastic and autoc...
robsplinedecomp decomposes a vector into trend, season and irregular...
RS rescaled adjusted range statistic
simpledecomp decomposes a vector into trend, season and irregular co...
smoothls smoothes a time series by Whittaker graduation. The functio...
smoothrb smoothes a time series robustly by using Huber's psi-functi...
specest direct spectral estimation of series y using periodogram win...
specplot plot of spectral estimate
splinedecomp decomposes a time series into trend, season and irregul...
statcheck determines the means, standard deviations and acf's of seg...
subsets determines all subsets of a set of n elements (labelled by 1...
symplot produces a symmetry plot
taper taper modification of a time series
tsmat constructs a (n-p+1,p) matrix from a time series where the fir...
vartable determines table of variate differences
wntest graphical test for white noise for a time series or a series ...
Accompanies the book Rainer Schlittgen and Cristina Sattarhoff (2020) <https://www.degruyter.com/view/title/575978> "Angewandte Zeitreihenanalyse mit R, 4. Auflage" . The package contains the time series and functions used therein. It was developed over many years teaching courses about time series analysis.