Package index

Basic Classes - Models

Models for rational transfer functions including input covariance.

RLDM RLDM-package

RLDM: Rational Linear Dynamic Models

armamod()

Constructor for LMFD (ARMA) Models

rmfdmod() experimental

Constructor for RMFD Models

stspmod()

Creator for stspmod class

Templates and Parametrization

Parameter templates and model structures.

fill_template() extract_theta()

Connect Deep Parameters with a Model

model2template() tmpl_arma_pq() tmpl_arma_echelon() tmpl_rmfd_pq() tmpl_rmfd_echelon() tmpl_stsp_full() tmpl_stsp_ar() tmpl_stsp_echelon()

Model Structures

tmpl_DDLC() tmpl_GRAM()

Local Model Structures

tmpl_llm() tmpl_lltm() tmpl_cycle() tmpl_season() cbind_templates()

Structural Time Series Models

is.template()

Check templates

tmpl_sigma_L()

sigma_L Structure

Test Objects and Model Conversion

r_model()

Generate a Random Model

as.stspmod()

Coerce to State Space Model

innovation_form() experimental

Innovation Form state space Model

test_armamod()

Create Test ARMA model

test_stspmod()

Create Test state space Model

Derived Properties

Compute properties of rational models.

autocov()

Autocovariance, Autocorelation and Partial Autocorrelation Function

fevardec()

Forecast Error Variance Decomposition

freqresp()

Frequency Response Function

impresp()

Impulse Response Function

spectrald()

Spectral Density

dft_3D()

Discrete Time Fourier Transform

Output and Visualization

Display and format model information.

str(<armamod>) str(<stspmod>) str(<impresp>) str(<autocov>) str(<fevardec>) str(<freqresp>) str(<spectrald>)

Display the Structure of Objects

print(<armamod>) print(<rmfdmod>) print(<stspmod>) print(<impresp>) print(<autocov>) print(<fevardec>) print(<freqresp>) print(<spectrald>)

Print Methods

plot(<impresp>) plot(<autocov>) plot(<freqresp>) plot(<spectrald>)

Plot Methods

plot(<fevardec>)

Plot Forecast Error Variance Decomposition

plot_prediction()

Plot Forecasts

predict(<armamod>) predict(<stspmod>) evaluate_prediction()

Model Predictions

zeroes(<armamod>) poles(<armamod>) zeroes(<rmfdmod>) poles(<rmfdmod>) zeroes(<stspmod>) poles(<stspmod>)

Poles and Zeroes

Time Series Operations

Solve difference equations and simulate.

solve_de() solve_inverse_de()

Solve (linear) Difference Equations

sim()

Simulate from a State Space or VARMA Model

solve_RMFD_R()

Solve RMFD system for given inputs

solve_inverse_RMFD_R()

Obtain Inputs of RMFD System for Given Data

solve_ARMA_R()

Solve ARMA system

toepl_fwd() toepl_inv()

Toeplitz Calculations

Estimation Methods - AR

est_ar() est_ar_yw() est_ar_dlw() est_ar_ols()

Estimate Autoregressive Models

Estimation Methods - ARMA

est_arma_hrk() deprecated

Hannan, Rissanen, Kavalieris estimation procedure

est_arma_hrk3()

Different version of HRK Procedure

Estimation Methods - State Space

est_stsp_aoki() est_stsp_cca() est_stsp_cca_sample()

Subspace Helper Methods

est_stsp_ss()

Estimate State Space Models with Subspace Methods

estorder_SVC() estorder_IVC() estorder_max() estorder_rkH() estorder_MOE()

Helper Functions for Order Estimation

Estimation Methods - Likelihood Based

est_ML() superseded

Maximum Likelihood Estimation

ll()

Log Likelihood Methods

ll_FUN()

Log Likelihood Function Factory

ll_theta() superseded

Log-likelihood Given Deep Parameters

ll_kf()

Gaussian log Likelihood of a State Space Model

Estimation Methods - Recursive Least Squares

arx_rls_core()

RLS function

Model Comparison

Compare and evaluate estimated models.

compare_estimates()

Compare Estimated Models

pm_test()

Portmanteau Test for Serial Correlation

KL_divergence()

Kullback–Leibler divergence

Kalman Filtering and Riccati

Kalman filter and matrix equation solvers.

kf()

Kalman Filter

riccati()

Solve a discrete time, algebraic Riccati equation

pfilter()

Sequential Monte Carlo (Particle Filter) Methods

ll_pfilter()

Particle Filter Approximation of Log-Likelihood

plot(<pfilter>)

Diagnostics for Particle Filter Results

Datasets

BQdata BQdata_ts BQdata_xts

Blanchard/Quah (1989) dataset

RSdata RSdata_ts RSdata_xts

Ramey/Shapiro dataset