Journal of Statistical Software article: "Algorithms for Linear Time Series Analysis: With R Package" by McLeod, Yu and Krougly
R Package: ltsa
| Version: | 1.1 |
| Authors: | A.I. McLeod, Hao Yu and Zinovi Krougly |
| Maintainer: | A.I. McLeod |
| License: | GPL Version 2 |
| Package source: | ltsa_1.1.tar.gz |
| MacOS X binary: | ltsa_1.1_R_i386-apple-darwin8.9.1.tar.gz |
| Windows binary: | ltsa_1.1.zip |
| Index of contents: | ltsa.INDEX |
| Reference manual: | ltsa.pdf |
R Package: FGN
| Version: | 1.1 |
| Authors: | A.I. McLeod |
| Maintainer: | A.I. McLeod |
| License: | GPL Version 2 |
| Package source: | FGN_1.1.tar.gz |
| MacOS X binary: | FGN_1.1_R_i386-apple-darwin8.9.1.tar.gz |
| Windows binary: | FGN_1.1.zip |
| Index of contents: | FGN.INDEX |
| Reference manual: | FGN.pdf |
R Scripts to Accompany our Paper
Table 12: Forecasts of NileMin updating the model and forecasts and comparing with predict.Arima: NileMinForecastWithFullUpdating.R
The next three scripts are computer intensive and require the Rmpi package running on a suitable Boewulf cluster computer.
Table 14: Properties of H: VarHSimulationRmpi.R
Table 15: Bootstrap forecasting with estimated FGN and ARMA parameter:
NileMinBootForecastRmpi.R
and with known H=0.831: NileMinParameterCertainty.R