tvARMAcpp

x_int

Sigma

Methods to compute linear h-step ahead prediction coefficients based
on localised and iterated Yule-Walker estimates and empirical mean squared
and absolute prediction errors for the resulting predictors. Also, functions
to compute autocovariances for AR(p) processes, to simulate tvARMA(p,q) time
series, and to verify an assumption from Kley et al. (2019), Electronic of Statistics,
forthcoming. Preprint <arXiv:1611.04460>.

Tobias Kley

forecastSNSTS

Forecasting for Stationary and Non-Stationary Time Series

Philip Preuss

Piotr Fryzlewicz

tvARMAcpp function

Workhorse function for tvARMA time series generation — tvARMAcpp

Workhorse function for tvARMA time series generation

tvARMAcpp: Workhorse function for tvARMA time series generation

Description

Arguments

Value