Class L10c ... Analysis of a multivariate time series (search also classes J1, L3e3, and L10b)

• Parent class.
• Top of Tree

Modules for class L10c

• DKALMN (KALMN) Perform Kalman filtering and evaluate the likelihood function for the state-spac ...
• KALMN (DKALMN) Perform Kalman filtering and evaluate the likelihood function for the state-spac ...

• G13DBF Calculates the multivariate partial autocorrelation function of a multivariate t ...
• G13DCF Fits a vector autoregressive moving average (VARMA) model to an observed vector ...
• G13DJF Computes forecasts of a multivariate time series. It is assumed that a vector AR ...
• G13DKF Accepts a sequence of new observations in a multivariate time series and updates ...
• G13DLF Differences and/or transforms a multivariate time series. It is intended to be u ...
• G13DMF Calculates the sample cross-correlation (or cross-covariance) matrices of a mult ...
• G13DNF Calculates the sample partial lag correlation matrices of a multivariate time se ...
• G13DPF Calculates the sample partial autoregression matrices of a multivariate time ser ...
• G13DSF Is a diagnostic checking routine suitable for use after fitting a vector ARMA mo ...
• G13DXF Calculates the zeros of a vector autoregressive (or moving average) operator. Th ...

• 640 SFRMG: A Fortran subprogram which takes real matrices A (n-by-n), B (n-by-m), an ...
• 808 ARFIT: Estimation of parameters and eigenmodes of multivariate autoregressive mo ...