General Methodology
Time Series Transformation
Box-Cox transformation........................................................................................... BCTR
Nonseasonal and seasonal difference........................................................................ DIFF
Estimates missing values in a time series.......................................... ESTIMATE_MISSING
Determines an optimal differencing
for seasonal
adjustment of a time
series...................................................................... SEASONAL_FIT
Sample Correlation Function
Autocorrelation function............................................................................................. ACF
Partial autocorrelation function................................................................................. PACF
Cross-correlation function.......................................................................................... CCF
Multichannel cross-correlation function.................................................................... MCCF
Time Domain Methodology
Nonseasonal Time Series Model Estimation
Method of moments estimation of AR parameters.................................................. ARMME
Method of moments estimation of MA parameters................................................. MAMME
Preliminary estimation of ARMA parameters............................................................. NSPE
Least-squares estimation of ARMA models............................................................ NSLSE
Maximum likelihood estimation of ARMA models............................................. MAX_ARMA
Fit a univariate, non-seasonal
ARIMA time
series
model................................................................................................
REG_ARIMA
Estimation of GARCH (p,q) models....................................................................... GARCH
Wiener forecast operator estimates......................................................................... SPWF
Box-Jenkins forecast............................................................................................. NSBJF
Transfer Function Model
Estimation of impulse response and noise series..................................................... IRNSE
Preliminary estimation of parameters........................................................................ TFPE
Multichannel Time Series
Least-squares estimation of parameters................................................................... MLSE
Estimation of multichannel Wiener filter.................................................................. MWFE
Kalman filter........................................................................................................ KALMN
Automatic Model Selection Fitting
AIC selection for univariate AR models........................................................ AUTO_UNI_AR
Detects and determines outliers and
simultaneously estimates the
model parameters in a time
series...................................... TS_OUTLIER_IDENTIFICATION
Computes forecasts for an outlier
contaminated
time
series...............................................................................
TS_OUTLIER_FORECAST
Automatic ARIMA modeling and
forecasting in the
presence of possible
outliers.......................................................................
AUTO_ARIMA
FPE selection for univariate AR models.............................................. AUTO_FPE_UNI_AR
Estimates structural breaks in
non-stationary
univariate time series
models....................................................................... AUTO_PARM
AIC selection for multivariate AR models.................................................... AUTO_MUL_AR
MFPE selection for multivariate
AR
models.....................................................................................
AUTO_FPE_MUL_AR
Bayesian Time Series Estimation
Bayesian seasonal adjustment modeling........................................................... BAY_SEA
Controller Design
Optimum controller design................................................................................ OPT_DES
Diagnostics
Lack of fit test based on the correlation function...................................................... LOFCF
Frequency Domain Methodology
Smoothing Functions
Dirichlet kernel function........................................................................................... DIRIC
Fejér kernel function.............................................................................................. FEJER
Spectral Density Estimation
ARMA rational spectrum
estimation............................................................. ARMA_SPEC
Periodogram using fast Fourier
transform.................................................................. PFFT
Using spectral window given data........................................................................... SSWD
Using spectral window given periodogram................................................................ SSWP
Using weight sequence given data.......................................................................... SWED
Using weight sequence given periodogram............................................................... SWEP
Cross-Spectral Density Estimation
Cross periodogram using fast Fourier transform....................................................... CPFFT
Using spectral window given data......................................................................... CSSWD
Using spectral window given cross periodogram..................................................... CSSWP
Using weight sequence given data........................................................................ CSWED
Using weight sequence given cross periodogram................................................... CSWEP
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