Transfer Function and ARIMA Models

Documentation for package ‘tfarima’ version 0.4.1

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Transfer Function and ARIMA Models

-- A --

add_um	Addition or substraction of univariate (ARIMA) models
AIC.ssm	AIC for fitted state space models
AIC.tfm	AIC and BIC for Transfer Function Models
airline	Airline Model (SARIMA(0,1,1)x(0,1,1)s)
as.lagpol	Lag polynomial converter
as.ssm	Structural form for an ARIMA model
as.ssm.ucarima	Structural form for an ARIMA model
as.ssm.um	Structural form for an ARIMA model
as.ucarima	Generic function for coercion to class "ucarima"
as.ucarima.um	Coerce a Univariate Model to UCARIMA form
as.um	Convert 'arima' into 'um'.
autocorr	Theoretical simple/partial autocorrelations of an ARMA model
autocorr.ucarima	Theoretical simple/partial autocorrelations of an ARMA model
autocorr.um	Theoretical simple/partial autocorrelations of an ARMA model
autocov	Theoretical autocovariances of an ARMA model
autocov.ssm	Theoretical autocovariances of an ARMA model
autocov.ucarima	Theoretical autocovariances of an ARMA model
autocov.um	Theoretical autocovariances of an ARMA model
autocov2MA	Convert autocovariances to MA parameters

-- B --

BIC.tfm	AIC and BIC for Transfer Function Models
BuildingMat	Monthly Retail Sales: Building Material and Supplies Dealers (NAICS 4441)

-- C --

calendar	Calendar effects
calendar.ssm	Calendar effects
calendar.tfm	Calendar effects
calendar.um	Calendar effects
CalendarVar	Calendar variables
ccf.tfm	Cross-correlation check
coef.tfm	Coefficients of a Transfer Function Model
coef.ucm	Extract coefficients from UCM objects
coef.um	Coefficients of a univariate model
cwfact	Cramer-Wold Factorization

-- D --

decomp	Unobserved components decomposition
decomp.ssm	Unobserved components decomposition
decomp.tfm	Unobserved components decomposition
decomp.ucarima	Unobserved components decomposition
decomp.um	Unobserved components decomposition
diagchk	Diagnostic checking
diagchk.ssm	Diagnostic checking
diagchk.tfm	Diagnostic Checking for Transfer Function Models
diagchk.ucarima	Diagnostic checking
diagchk.um	Diagnostic checking
display	Graphs for ARMA models
display.default	Graphs for ARMA models
display.um	Graphs for ARMA models

-- E --

-- F --

factorize	Factorized form of a univariate ARIMA model
factorize.um	Factorized form of a univariate ARIMA model
factors	Lag polynomial factorization
factors.lagpol	Lag polynomial factorization
fit	Estimation of the ARIMA model
fit.ssm	Estimation of the ARIMA model
fit.tfm	Fit a Transfer Function Model
fit.ucarima	Estimation of UCARIMA models
fit.um	Estimation of the ARIMA model

-- I --

ide	Identification plots
init_kf	Initialization of Kalman filter
intervention	Intervention analysis/Outlier treatment
intervention.tfm	Intervention analysis/Outlier treatment
intervention.um	Intervention analysis/Outlier treatment
InterventionVar	Intervention variables
inv	Inverse of a lag polynomial
inv.lagpol	Inverse of a lag polynomial
irf	Impulse response function

-- K --

kf	Kalman filter for SS models
ks	Kalman smoother for SS models

-- L --

lagpol	Lag polynomials
lagpol0	Create lag polynomial objects
logLik.ssm	Log-likelihood of a SS model
logLik.tfm	Log-Likelihood of Transfer Function Model
logLik.um	Log-likelihood of an ARIMA model

-- M --

modify	Modifying a TF or an ARIMA model
modify.tfm	Modifying a TF or an ARIMA model
modify.um	Modifying a TF or an ARIMA model

-- N --

nabla	Unscramble I polynomial
nabla.ucarima	Unscramble I polynomial
nabla.um	Unscramble I polynomial
noise	Extract Noise Component from Transfer Function Model
noise.ssm	Extract Noise Component from Transfer Function Model
noise.tfm	Extract Noise Component from Transfer Function Model

-- O --

outlierDates	Outlier dates
outliers	Outliers detection at known/unknown dates
outliers.ssm	Outliers detection at known/unknown dates
outliers.tfm	Outliers detection at known/unknown dates
outliers.ucarima	Outliers detection at known/unknown dates
outliers.um	Outliers detection at known/unknown dates
output	Output of a transfer function or a transfer function model
output.tf	Output of a transfer function or a transfer function model

-- P --

pccf	Prewhitened cross correlation function
phi	Unscramble AR polynomial
phi.ucarima	Unscramble AR polynomial
phi.um	Unscramble AR polynomial
pi.weights	Pi weights of an AR(I)MA model
pi.weights.um	Pi weights of an AR(I)MA model
polyderivEvalR	Evaluate the k-th derivative of a polynomial at point z
predict.ssm	Predict method for state space models
predict.tf	Predict transfer function
predict.tfm	Forecast Transfer Function Model
predict.um	Forecasts from an ARIMA model
print.lagpol	Print Method for Lag Polynomial Objects
print.predict.um	Print method for transfer function objects
print.ssm	Print method for 'ssm' objects
print.summary.ssm	Print summary of fitted state space model
print.summary.tfm	Print Summary of Transfer Function Model
print.summary.um	Print Summary of Univariate Model
print.tf	Print method for transfer function objects
print.tfm	Print Transfer Function Model
print.uc	Print method for unobserved components
print.ucarima	Print method for transfer function objects
print.um	Print method for transfer function objects
printLagpol	Print non-normalized polynomial as a lag polynomial
printLagpolList	Prints a list of 'lagpol' objects.
psi.weights	Psi weights of an AR(I)MA model
psi.weights.um	Psi weights of an AR(I)MA model

-- R --

residuals.ssm	Residuals of fitted state space models
residuals.tfm	Extract Residuals from Transfer Function Model
residuals.ucarima	Residuals of fitted UCARIMA models
residuals.um	Residuals of the ARIMA model
roots	Roots of lag polynomials
roots.default	Roots of lag polynomials
roots.lagpol	Roots of lag polynomials
roots.tf	Roots of lag polynomials
roots.um	Roots of lag polynomials
roots2lagpol	Lag polynomial from roots
rsales	Retail Sales of Variety Stores (U.S. Bureau of the Census)

-- S --

S	Annual (rolling) sum
sdummies	Seasonal dummies
seasadj	Seasonal adjustment
seasadj.um	Seasonal adjustment
seriesC	Series C Chemical Process Temperature Readings: Every Minute.
seriesJ	Gas furnace data
setinputs	Add or Replace Inputs in Models
setinputs.tfm	Add or Replace Inputs in Models
setinputs.um	Add or Replace Inputs in Models
signal	Signal component of a TF model
signal.tfm	Signal component of a TF model
sim	Simulate Time Series from ARIMA or Transfer Function Models
sim.tfm	Simulate Time Series from ARIMA or Transfer Function Models
sim.um	Simulate Time Series from ARIMA or Transfer Function Models
sincos	Trigonometric variables
spec	Spectrum of an ARMA model
spec.um	Spectrum of an ARMA model
ssm	Time Invariant State Space Model
std	Standardize time series
summary.ssm	Summary of fitted state space model
summary.tfm	Summarize Transfer Function Model
summary.um	Summary of um model

-- T --

tf	Transfer function for input
tfarima	Transfer Function and ARIMA Models
tfest	Helper function to create a tf object
tfm	Transfer Function Model Constructor
theta	Unscramble MA polynomial
theta.um	Unscramble MA polynomial
tsdiag.tfm	Diagnostic Plots for Time-Series Fits Description
tsdiag.um	Diagnostic Plots for Time-Series Fits Description
tsvalue	Extract time series value by date

-- U --

uc	Unobservable components
uc0	Unobservable components (UC) for structural time series models
ucarima	Unobserved components ARIMA models
ucm	Unobserved Components Time Series Models
um	Univariate (ARIMA) model
unitcircle	Unit circle
unitcircle.default	Unit circle
unitcircle.lagpol	Unit circle

-- V --

varsel	Variable selection
varsel.tfm	Variable selection

-- W --

wkfilter	Wiener-Kolmogorov filter
wkfilter.as_ucarima	Wiener-Kolmogorov filter
wkfilter.um	Wiener-Kolmogorov filter
wold.pol	Wold polynomial
Wtelephone	Wisconsin Telephone Company