In Time-Series Analysis


2NDORDER: The 2nd-order Difference Equation with Complex Roots

AIC: The AIC Criterion for Model Selection

ARCH: Processes with Autoregressive Conditionally Heteroskedastic (ARCH) Disturbances

ARCOVAR: The Autocovariances of an AR(2) Process

BIBO: Rational Transfer Functions and BIBO Stability

BURMAN: Burman's Method of Signal Extraction: the Start-up Problem

CHOLESKY: The Cholesky Decomposition of a Symmetric Matrix of 5 Diagonals

COHERE: Bivariate Spectral Analysis

DAMPING: Linear Differential Equations

DIFFDIFF Differential and Difference Equations Compared

FORECAST: The Analytic Form of the Forecast Function

IAR: Forecasting an Integrated Autoregressive Process

IMA: The Integrated Moving-Average Model IMA(1, 1)

INTMAONE Forecasting with the Integrated Moving-Average IMA(1, 1) Model

INVERT: MA Processes with Common Autocovariances

KALMAN: The Equations of the Kalman Filter

LIKELY: The Prediction-Error Decomposition of the Likelihood Function

KINEMAT: Kinematics and Dynamics

MGALES: Martingale Sequences

MODWT: A Maximal Overlap Discrete Wavelet Transform

OLDVERT: MA Processes with Common Autocovariances

OPTIMISE: The Newton--Raphson Method and the Gauss--Newton Method

PARTIAL: The Partial Fraction Decomposition of an Autocovariance Generating Function

POLEZERO: The Poles and Zeros of a Rational Filter

SIGTRACT: Signal Extraction in the Case of a Random Walk Observed with Error

SHORTFLT : Filtering Short Sequences

SMOOTHIN: A Classical Smoothing Filter

SPECOVAR: The Periodogram and the Circular Autocovariances

STARTING: The Starting-Value Problem Associated with ARMA Processes

STOCDIFF: Stochastic Differential Equations

STRUCTUR Structural Time-Series Models

SUBSAMPL Subsampling of AR and ARMA Processes

TRANSFER: Transfer Functions

WIENER: An Integrated Wiener Processes and its Discrete-Time Analogue

WKFILTER: Wiener--Kolmogorov Signal Extraction Filters

DESEASON Deseasonalising Wiener--Kolmogorov Filters

WILSON: Computing the MA Parameters from the Autocovariances

DENSITY: Density Function Estimation

TRIGFUNC: Recurrence Relationships for Computing Trigonometrical Functions

SHANNON: The Shannon--Whitakker Sampling Theorem

CONVERTS: Sample Rate Conversions

TWOCHANL: Two Channel Quadrature Mirror Filter Bank

HENDFLTR: Local Polynomial Regression and the Henderson Filter

FREQTRNS: Conversion of Filters from Lowpass to Bandpass

JHOOKE: A Direct Search Procedure for Optimising a Bivariate Function

SCALING: Scaling in Dyadic Multiresolution Analysis

NELMEADE: The Search Procedure of Nelder and Meade

PERISCAL Scaling the Periodogram and the Spectrum