pcts

Periodically Correlated and Periodically Integrated Time Series

CRAN Package

Classes and methods for modelling and simulation of periodically correlated (PC) and periodically integrated time series. Compute theoretical periodic autocovariances and related properties of PC autoregressive moving average models. Some original methods including Boshnakov & Iqelan (2009) , Boshnakov (1996) .

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  • Depends1 package
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