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bpfaff
vars:VAR Modelling
Estimation, lag selection, diagnostic testing, forecasting, causality analysis, forecast error variance decomposition and impulse response functions of VAR models and estimation of SVAR and SVEC models.
Maintained by Bernhard Pfaff. Last updated 1 years ago.
7 stars 8.84 score 2.8k scripts 45 dependents
asael697
nortsTest:Assessing Normality of Stationary Process
Despite that several tests for normality in stationary processes have been proposed in the literature, consistent implementations of these tests in programming languages are limited. Seven normality test are implemented. The asymptotic Lobato & Velasco's, asymptotic Epps, Psaradakis and Vávra, Lobato & Velasco's and Epps sieve bootstrap approximations, El bouch et al., and the random projections tests for univariate stationary process. Some other diagnostics such as, unit root test for stationarity, seasonal tests for seasonality, and arch effect test for volatility; are also performed. Additionally, the El bouch test performs normality tests for bivariate time series. The package also offers residual diagnostic for linear time series models developed in several packages.
Maintained by Asael Alonzo Matamoros. Last updated 1 years ago.
3 stars 3.69 score 33 scripts
cran
aTSA:Alternative Time Series Analysis
Contains some tools for testing, analyzing time series data and fitting popular time series models such as ARIMA, Moving Average and Holt Winters, etc. Most functions also provide nice and clear outputs like SAS does, such as identify, estimate and forecast, which are the same statements in PROC ARIMA in SAS.
Maintained by Debin Qiu. Last updated 1 years ago.
1 stars 3.29 score 5 dependents