R Code
code for
1st set
of lecture overheads
2nd set
3rd set
4th set
5th set
6th set
7th set
8th set
9th set
10th set
11th set
12th set
13th set
14th set
15th set
16th set
17th set
18th set
turning.point.test, difference.sign.test, rank.test, runs.test, portmanteau.test.LB
(diagnostic tests)
step.down.LD.recursions
(step-down Levinson-Durbin recursions)
sim.ar.process and sim.arma.process
(exact simulation of ARMA processes)
ar.coeffs.to.acvs
(compute ACVF for AR process)
LD.recursions
(Levinson-Durbin recursions)
innovations.algorithm
(innovations algorithm)
AICC, AICC.given.ACVF
(bias-corrected version of Akaike's information criterion)
next.power.of.2
(power of 2 greater than or equal to n)
dft, inverse.dft
(discrete Fourier transform and inverse thereof)
ma.coeffs.to.acvf
(compute ACVF for MA process)
HR.algorithm
(Hannan-Rissanen algorithm)
sim.circ.embed.setup, sim.circ.embed.from.setup
(simulation via circulant embedding)
LD.recursions.for.FD.process, normalized.innovations.for.FD.process
(Levinson-Durbin recursions for FD processes)
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Stat 519
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