g13 - Time Series Analysis

Chapter Introduction
g13abc	nag_tsa_auto_corr Sample autocorrelation function
g13acc	nag_tsa_auto_corr_part Partial autocorrelation function
g13asc	nag_tsa_resid_corr Univariate time series, diagnostic checking of residuals, following nag_tsa_multi_inp_model_estim (g13bec)
g13bec	nag_tsa_multi_inp_model_estim Estimation for time series models
g13bjc	nag_tsa_multi_inp_model_forecast Forecasting function
g13bxc	nag_tsa_options_init Initialisation function for option setting
g13byc	nag_tsa_transf_orders Function to allocate memory to transfer function model orders
g13bzc	nag_tsa_trans_free Freeing function for the structure holding the transfer function model orders
g13cbc	nag_tsa_spectrum_univar Univariate time series, smoothed sample spectrum using spectral smoothing by the trapezium frequency (Daniell) window
g13cdc	nag_tsa_spectrum_bivar Multivariate time series, smoothed sample cross spectrum using spectral smoothing by the trapezium frequency (Daniell) window
g13cec	nag_tsa_cross_spectrum_bivar Multivariate time series, cross amplitude spectrum, squared coherency, bounds, univariate and bivariate (cross) spectra
g13cfc	nag_tsa_gain_phase_bivar Multivariate time series, gain, phase, bounds, univariate and bivariate (cross) spectra
g13cgc	nag_tsa_noise_spectrum_bivar Multivariate time series, noise spectrum, bounds, impulse response function and its standard error
g13eac	nag_kalman_sqrt_filt_cov_var One iteration step of the time-varying Kalman filter recursion using the square root covariance implementation
g13ebc	nag_kalman_sqrt_filt_cov_invar One iteration step of the time-invariant Kalman filter recursion using the square root covariance implementation with (A,C) in lower observer Hessenberg form
g13ecc	nag_kalman_sqrt_filt_info_var One iteration step of the time-varying Kalman filter recursion using the square root information implementation
g13edc	nag_kalman_sqrt_filt_info_invar One iteration step of the time-invariant Kalman filter recursion using the square root information implementation with (A-1, A-1 B) in upper controller Hessenberg form
g13ewc	nag_trans_hessenberg_observer Unitary state-space transformation to reduce (A,C) to lower or upper observer Hessenberg form
g13exc	nag_trans_hessenberg_controller Unitary state-space transformation to reduce (B,A) to lower or upper controller Hessenberg form
g13fac	nag_estimate_agarchI Univariate time series, parameter estimation for either a symmetric GARCH process or a GARCH process with asymmetry of the form (epsilont-1 + gamma)2
g13fbc	nag_forecast_agarchI Univariate time series, forecast function for either a symmetric GARCH process or a GARCH process with asymmetry of the form (epsilont-1 + gamma)2
g13fcc	nag_estimate_agarchII Univariate time series, parameter estimation for a GARCH process with asymmetry of the form (|epsilont-1| + gamma epsilont-1)2
g13fdc	nag_forecast_agarchII Univariate time series, forecast function for a GARCH process with asymmetry of the form (|epsilont-1| + gamma epsilont-1)2
g13fec	nag_estimate_garchGJR Univariate time series, parameter estimation for an asymmetric Glosten, Jagannathan and Runkle (GJR) GARCH process
g13ffc	nag_forecast_garchGJR Univariate time series, forecast function for an asymmetric Glosten, Jagannathan and Runkle (GJR) GARCH process
g13xzc	nag_tsa_free Freeing function for use with g13 option setting