Time Series Software and Datasets
Software
- ar.robust.
S-function to compute robust estimates of partial autocorrelation for
AR processes (upto order 6).
This function can also be used to obtain posterior probabilities for
the competing AR models.
Nhu Le (nhu@epi.terryfox.ubc.ca). [1/Mar/95] (99 k)
- fracdiff.
S-PLUS function to do
Maximum likelihood estimation of the parameters of a fractionally-differenced
ARIMA (p,d,q) model (Haslett and Raftery, Applied Statistics 1989). Fortran
source code in a shar archive. See also fracdiff in the general collection of StatLib.
Submitted by Chris Fraley, (fraley@stat.washington.edu) [24/Mar/91]. [12/Aug/91]
[9/Oct/91] [4/Nov/91] [13/Nov/91] [24/March/92] [15/Sept/92] [22/Feb/93]
[11/Mar/94] [4/May/94] (135 kbytes)
Note: This function is now available in Splus under the name
arima.fracdiff, and several other related functions are also included in
Splus (versions 3.1 and later).
- fracdiff.
Maximum likelihood estimation of the parameters of a fractionally-differenced
ARIMA (p,d,q) model (Haslett and Raftery, Applied Statistics 1989). Fortran
source code in a shar archive.
See also fracdiff in the S collection of StatLib (see link above).
Submitted by Chris Fraley, (fraley@stat.washington.edu) [7/Oct/91] [24/Mar/91].
[4/Nov/91] [15/Sept/92] [22/Feb/93] [11/Mar/94] [4/May/94](220 kbytes)
- mtd.
Higher order Markov chains: Estimating the MTD (Markov Transition
Distribution) model of Raftery (JRSS B, 1985) and
Raftery and Tavare (Applied Statistics, 1994) [calls NAG].
"Adrian E. Raftery"
(raftery@stat.washington.edu) [11/Mar/94][25/Jul/94] (32kbytes)
Data set available
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