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timsac

timsac: TIMe Series Analysis and Control package. Functions for statistical analysis, prediction and control of time series.

Keywords for this software

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  • nonstationary process
  • search procedure
  • reversed echelon form
  • R package
  • constraint on the autoregressive coefficients
  • VARMA model
  • entropy
  • expected likelihood
  • one-step-ahead predictors
  • autoregressive model
  • Numerical examples
  • change of spectrum
  • normal prior
  • Akaike Bayesian Information Criterion
  • optimal AR-MA order
  • state space models
  • state space representation
  • spectral density estimation
  • canonical correlations
  • numerical examples
  • AR(M) model
  • R
  • hyper-parameter
  • autoregressive moving average model
  • Kalman filter
  • nonstationary time series model
  • algorithm
  • Journal of Statistical Software
  • state space estimation
  • time series

  • URL: cran.r-project.org/web...
  • Code
  • InternetArchive
  • Manual: cran.r-project.org/web...
  • Authors: The Institute of Statistical Mathematics; Masami Saga
  • Dependencies: R

  • Add information on this software.


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References in zbMATH (referenced in 7 articles )

Showing results 1 to 7 of 7.
y Sorted by year (citations)

  1. Bhansali, Rajendra J.: Model specification and selection for multivariate time series (2020)
  2. Zhao, Yanchang: R and data mining. Examples and case studies (2013)
  3. Fernando Tusell: Kalman Filtering in R (2011) not zbMATH
  4. Wang, Haiyan; Higgins, James; Blasi, Dale: Distribution-free tests for no effect of treatment in heteroscedastic functional data under both weak and long range dependence (2010)
  5. Tamura, Yoshiyasu-Hamada: An approach to the nonstationary process analysis (1987)
  6. Tamura, Yoshiyasu-Hamada: An approach to the nonstationary process analysis (1987)
  7. Kitagawa, Genshiro: On a search procedure for the optimal AR-MA order (1977)

  • Article statistics & filter:

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  • MSC classification / top
    • Top MSC classes
      • 62 Statistics
      • 65 Numerical analysis
      • 68 Computer science

  • Publication year
    • 2010 - today
    • 2005 - 2009
    • 2000 - 2004
    • before 2000
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