Package: pcts 0.15.2.9000

Georgi N. Boshnakov

pcts: Periodically Correlated and Periodically Integrated Time Series

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) <doi:10.1111/j.1467-9892.2009.00617.x>, Boshnakov (1996) <doi:10.1111/j.1467-9892.1996.tb00281.x>.

Authors:Georgi N. Boshnakov [aut, cre]

pcts_0.15.2.9000.tar.gz
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manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
pcts/json (API)

# Install 'pcts' in R:

install.packages('pcts', repos = c('https://geobosh.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/geobosh/pcts/issues

Pkgdown/docs site:https://geobosh.github.io

Datasets:

dataFranses1996 - Example data from Franses
ex1f - An example PAR autocorrelation function
four_stocks_since2016_01_01 - Data for four stocks since 2016-01-01
Fraser2017 - Fraser River at Hope, mean monthly flow

On CRAN:

par-models periodic periodic-models piar-models seasonal time-series time-series-models

4.18 score 3 stars 6 scripts 271 downloads 122 exports 23 dependencies

Last updated from:5ef809a876. Checks:7 ERROR, 2 OK. Indexed: yes.

Target	Result	Time
linux-devel-x86_64	ERROR	183
source / vignettes	OK	256
linux-release-x86_64	ERROR	201
macos-release-arm64	ERROR	188
macos-oldrel-arm64	ERROR	139
windows-devel	ERROR	167
windows-release	ERROR	171
windows-oldrel	ERROR	166
wasm-release	OK	117

Exports:[.Pctime [[.Pctime alg1 alg1util allSeasons allSeasons<-as_date as_datetime as_Pctime as.Date as.Date.Cyclic as.Date.PeriodicTimeSeries autocorrelations autocovariances availEnd availStart backwardPartialCoefficients backwardPartialVariances BuiltinCycle coef Cyclic date date.Cyclic date<-filterCoef filterOrder filterPoly filterPolyCoef fit_trigPAR_optim fitPM fitted head intercept2permean isStationaryModel maxLag mC.ss meancovmat meanvarcheck modelCenter modelCoef modelCycle modelCycle<-modelIntercept modelOrder modelPoly modelPolyCoef na.trim nCycles nSeasons nTicks num2pcpar nUnitRoots nVariables parcovmatlist partialAutocorrelations partialAutocovariances partialCoefficients partialVariances pc_sdfactor pc.acf.parModel pc.filter pc.filter.xarma pc.hat.h pc.sdfactor pcacf_pwn_var pcacfMat pcApply pcAr.ss pcAR2acf pcarma_acvf_lazy pcarma_acvf_system pcarma_acvf2model pcarma_h pcarma_h_lazy pcarma_param_system pcarma_prepare pcarma_tovec pcarma_unvec pcArray pcCycle pclsdf pclspiar pcMatrix pcMean pcTest Pctime pcts pcts_exdata pctsArray pdSafeParOrder periodic_acf1_test PeriodicArModel PeriodicVector permean2intercept permodelmf pi1ar2par plot pwn_McLeodLjungBox_test residuals seqSeasons sigmaSq sim_parAcvf sim_parCoef sim_pc sim_pwn slMatrix tail test_piar toSeason toSeasonPair tsMatrix tsVec tsVector ttmatToslPairs ttTosl unitCycle unitCycle<-unitSeason unitSeason<-vcov Vec xx.ss

Dependencies:BB cpp11 Formula gbutils generics lagged lattice ltsa lubridate MASS Matrix mcompanion numDeriv PolynomF quadprog rbibutils Rcpp RcppArmadillo Rdpack sarima timechange xts zoo

Importing and manipulating periodic time series data

subtitle: "This vignette is part of package pcts, version r pd[["Version"]]."

Rendered frompcts_data.Rmdusingknitr::rmarkdown

Last update: 2023-11-28
Started: 2020-04-17

Citation

Development and contributors

Readme and manuals

Help Manual

Help page	Topics
Periodically Correlated and Periodically Integrated Time Series	pcts-package
Indexing of objects from classes in package pcts	[,BasicCycle,ANY,missing,ANY-method [,BasicCycle,missing,missing,ANY-method [,PeriodicMTS,ANY,ANY,ANY-method [,PeriodicMTS,ANY,missing,ANY-method [,PeriodicMTS,AnyDateTime,ANY,ANY-method [,PeriodicMTS,AnyDateTime,missing,ANY-method [,PeriodicMTS,missing,missing,ANY-method [,PeriodicTS,AnyDateTime,missing,ANY-method [,PeriodicTS,missing,missing,ANY-method [,PeriodicVector,ANY,ANY,ANY-method [,PeriodicVector,ANY,missing,ANY-method [,PeriodicVector,missing,ANY,ANY-method [,PeriodicVector,missing,missing,ANY-method [,VirtualPeriodicAutocovarianceModel,missing,missing,ANY-method [,VirtualPeriodicAutocovarianceModel,missing,numeric,ANY-method [,VirtualPeriodicAutocovarianceModel,numeric,missing,ANY-method [,VirtualPeriodicAutocovarianceModel,numeric,numeric,ANY-method [-methods
Methods for function'`[[`' in package 'pcts'	[[,PeriodicAutocovarianceModel,numeric-method [[,PeriodicMTS,ANY,ANY-method [[,PeriodicMTS,ANY-method [[,VirtualPeriodicAutocovarianceModel,numeric,ANY-method [[-methods
Index assignments for objects from classes in package pcts	[<-,ANY,ANY,ANY,ANY-method [<-,BasicCycle,ANY,missing,ANY-method [<-,BasicCycle,missing,missing,ANY-method [<-,pc.armaPQ,ANY,ANY,ANY-method [<-,PeriodicAutocovarianceModel,ANY,ANY,ANY-method [<-,PeriodicVector,ANY,ANY,ANY-method [<-,PeriodicVector,missing,ANY,ANY-method [<-,slMatrix,ANY,ANY,ANY-method [<--methods
Methods for function'$' in package 'pcts'	$,PeriodicMTS-method $-methods
Get names of seasons	allSeasons allSeasons,BasicCycle,ANY-method allSeasons,Cyclic,ANY-method allSeasons,DayWeekCycle,logical-method allSeasons,DayWeekCycle,missing-method allSeasons,Every30MinutesCycle,logical-method allSeasons,Every30MinutesCycle,missing-method allSeasons,MonthYearCycle,logical-method allSeasons,MonthYearCycle,missing-method allSeasons,OpenCloseCycle,logical-method allSeasons,OpenCloseCycle,missing-method allSeasons,QuarterYearCycle,logical-method allSeasons,QuarterYearCycle,missing-method allSeasons,SimpleCycle,ANY-method allSeasons,VirtualPeriodicModel,ANY-method allSeasons-methods allSeasons<- allSeasons<-,Cyclic-method allSeasons<-,SimpleCycle-method seqSeasons unitCycle unitCycle<- unitSeason unitSeason<-
Replace methods for as_date in package pcts	as_date,ANY-method as_date,character-method as_date,Cyclic-method as_date,numeric-method as_date,PeriodicTimeSeries-method as_date,POSIXt-method as_date-methods
Methods for as_datetime in package pcts	as_datetime,PeriodicTimeSeries-method as_datetime-methods
Compute autocorrelations and periodic autocorrelations	autocorrelations autocorrelations,numeric,ANY,missing-method autocorrelations,PeriodicAutocovariances,ANY,missing-method autocorrelations,PeriodicTimeSeries,ANY,missing-method autocorrelations,SamplePeriodicAutocovariances,ANY,missing-method autocorrelations,VirtualPeriodicAutocovarianceModel,ANY,missing-method autocorrelations,VirtualPeriodicAutocovariances,ANY,missing-method autocorrelations-methods
Compute autocovariances and periodic autocovariances	autocovariances autocovariances,matrix,ANY-method autocovariances,matrix-method autocovariances,numeric,ANY-method autocovariances,numeric-method autocovariances,PeriodicArmaModel,ANY-method autocovariances,PeriodicArmaModel-method autocovariances,PeriodicArModel,ANY-method autocovariances,PeriodicArModel-method autocovariances,PeriodicTS,ANY-method autocovariances,VirtualPeriodicAutocovariances,ANY-method autocovariances-methods
Time of first or last non-NA value	availEnd availStart
Compute periodic backward partial coefficients	backwardPartialCoefficients,VirtualPeriodicAutocovariances-method backwardPartialCoefficients-methods
Compute periodic backward partial variances	backwardPartialVariances,VirtualPeriodicAutocovariances-method backwardPartialVariances-methods
Class BareCycle	BareCycle-class
Class BasicCycle	BasicCycle-class
Class '"BuiltinCycle"' and its subclasses in package 'pcts'	allSeasons,BuiltinCycle-method BuiltinCycle-class DayWeekCycle-class Every30MinutesCycle-class initialize,BuiltinCycle-method MonthYearCycle-class OpenCloseCycle-class QuarterYearCycle-class unitCycle,BuiltinCycle-method unitSeason,BuiltinCycle-method
Create objects from class Cyclic	as.Date.Cyclic as.Date.PeriodicTimeSeries Cyclic date.Cyclic date<-
Class '"Cyclic"'	Cyclic-class
Example data from Franses (1996)	dataFranses1996
Replace methods for date in package pcts	date<-,BasicCycle-method date<-,Cyclic-method date<--methods
An example PAR autocorrelation function	ex1f
Get the coefficients of a periodic filter	filterCoef,PeriodicBJFilter,character-method filterCoef,PeriodicSPFilter,character-method filterCoef-methods
Fit a subset trigonometric PAR model	fit_trigPAR_optim
Fit periodic time series models	fitPM fitPM,ANY,ANY-method fitPM,mcSpec,ANY-method fitPM,numeric,ANY-method fitPM,PeriodicArModel,ANY-method fitPM,PeriodicArModel,PeriodicMTS-method fitPM,PeriodicArModel,PeriodicTS-method fitPM,PiPeriodicArModel,ANY-method fitPM,SiPeriodicArModel,ANY-method fitPM-methods
Class FittedPeriodicArmaModel	as_pcarma_list,FittedPeriodicArmaModel-method FittedPeriodicArmaModel-class show,FittedPeriodicArmaModel-method
Class FittedPeriodicArModel	FittedPeriodicArModel-class
Data for four stocks since 2016-01-01	four_stocks_since2016_01_01
Fraser River at Hope, mean monthly flow	Fraser2017
Methods for function maxLag() in package 'pcts'	maxLag,PeriodicArmaFilter-method maxLag-methods
Create environment for mc-fitting	mC.ss xx.ss
Asymptotic covariance matrix of periodic mean	meancovmat meanvarcheck
Get the cycle of a periodic object	modelCycle modelCycle,ANY-method modelCycle,ModelCycleSpec-method modelCycle-methods modelCycle<- modelCycle<-,ANY-method modelCycle<-,ModelCycleSpec-method modelCycle<--methods
Class ModelCycleSpec	ModelCycleSpec-class
Basic information about periodic ts objects	nCycles nSeasons nTicks nVariables
Number of seasons of a periodic object	nSeasons,BareCycle-method nSeasons,Cyclic-method nSeasons,DayWeekCycle-method nSeasons,Every30MinutesCycle-method nSeasons,MonthYearCycle-method nSeasons,OpenCloseCycle-method nSeasons,PartialCycle-method nSeasons,PeriodicFilterModel-method nSeasons,PeriodicIntegratedArmaSpec-method nSeasons,PeriodicInterceptSpec-method nSeasons,PeriodicMonicFilterSpec-method nSeasons,QuarterYearCycle-method nSeasons,SarimaFilter-method nSeasons,VirtualArmaFilter-method nSeasons,VirtualPeriodicArmaFilter-method nSeasons,VirtualPeriodicModel-method nSeasons-methods
Fit PAR model using sample autocorrelations	num2pcpar
Compute asymptotic covariance matrix for PAR model	parcovmatlist
Compute periodic partial autocorrelations	partialAutocorrelations partialAutocorrelations,PeriodicAutocovariances,ANY,missing-method partialAutocorrelations,VirtualPeriodicAutocovariances,ANY,ANY-method partialAutocorrelations-methods
Compute periodic partial autocovariances	partialAutocovariances,VirtualPeriodicAutocovariances-method partialAutocovariances-methods
Compute periodic partial coefficients	partialCoefficients partialCoefficients,PeriodicArModel-method partialCoefficients,VirtualPeriodicAutocovariances-method partialCoefficients-methods
Class PartialCycle	allSeasons,PartialCycle,logical-method allSeasons,PartialCycle,missing-method PartialCycle-class
Class PartialPeriodicAutocorrelations	PartialPeriodicAutocorrelations-class
Compute periodic partial variances	partialVariances partialVariances,VirtualPeriodicAutocovariances-method partialVariances-methods
Compute normalising factors	pc.sdfactor pc_sdfactor
Applies a periodic ARMA filter to a time series	pc.armafilter pc.filter
Filter time series with periodic arma filters	pc.filter.xarma
function to compute estimates of the h weights	pc.hat.h
Variances of sample periodic autocorrelations	pcacf_pwn_var
Compute PAR autocovariance matrix	pc.acf.parModel pcacfMat
Periodic Levinson-Durbin algorithm	alg1
Give partial periodic autocorrelations or other partial prediction quantities for a pcAcvf object.	alg1util
Apply a function to each season	pcApply pcApply,matrix-method pcApply,numeric-method pcApply,PeriodicMTS-method pcApply,PeriodicTS-method pcApply-methods
Compute the sum of squares for a given PAR model	pcAr.ss
Compute periodic autocorrelations from PAR coefficients	pcAR2acf
Fit a PC-ARMA model to a periodic autocovariance function	pcarma_acvf2model
Functions to compute various characteristics of a PCARMA model	pcarma_acvf_lazy pcarma_acvf_system pcarma_h pcarma_h_lazy pcarma_param_system
Functions for work with a simple list specification of pcarma models	pcarma_prepare pcarma_tovec pcarma_unvec
Create or extract Cycle objects	BuiltinCycle pcCycle pcCycle,BasicCycle,character-method pcCycle,BasicCycle,missing-method pcCycle,character,ANY-method pcCycle,character,character-method pcCycle,character,missing-method pcCycle,Cyclic,ANY-method pcCycle,numeric,character-method pcCycle,numeric,missing-method pcCycle,PeriodicTimeSeries,character-method pcCycle,PeriodicTimeSeries,missing-method pcCycle,ts,character-method pcCycle,ts,missing-method pcCycle-methods
Fit PAR models using least squares	pclsdf
Fit a periodically integrated autoregressive model	pclspiar
Compute periodic mean	pcMean pcMean,matrix-method pcMean,numeric-method pcMean,PeriodicMTS-method pcMean,PeriodicTS-method pcMean,VirtualPeriodicArmaModel-method pcMean-methods
Plot periodic time series	boxplot.PeriodicTimeSeries monthplot.PeriodicTimeSeries pcPlot
Test for periodicity	pcTest pcTest,ANY,ANY-method pcTest,ANY,character-method pcTest,numeric,character-method pcTest,PeriodicTimeSeries,character-method pcTest,slMatrix,character-method pcTest-methods
Convert between Pctime and datetime objects	as_Pctime as_Pctime.Cyclic as_Pctime.PeriodicTimeSeries Pctime [.Date [.Pctime [.ts [<-.POSIXlt [[.Date [[.Pctime
Create objects from periodic time series classes	pcts pcts,ANY-method pcts,data.frame,ANY-method pcts,matrix,BasicCycle-method pcts,matrix,missing-method pcts,matrix,numeric-method pcts,mts,missing-method pcts,mts,numeric-method pcts,numeric,BasicCycle-method pcts,numeric,missing-method pcts,numeric,numeric-method pcts,ts,missing-method pcts,ts,numeric-method pcts,xtsORzoo,missing-method pcts-methods
Periodic time series objects for examples	pcts_exdata
Deprecated Functions and classes in Package 'pcts'	allSeasons,FiveDayWeekCycle,logical-method allSeasons,FiveDayWeekCycle,missing-method FiveDayWeekCycle-class mCpar nSeasons,FiveDayWeekCycle-method pcts-deprecated ptildeorders sim_arAcf unitCycle,FiveDayWeekCycle-method unitSeason,FiveDayWeekCycle-method
Functions for some basic operations with seasons	pdSafeParOrder
McLeod's test for periodic autocorrelation	periodic_acf1_test
Class '"PeriodicArmaFilter"'	PeriodicArFilter-class PeriodicArmaFilter-class PeriodicMaFilter-class
Class PeriodicArmaModel	PeriodicArmaModel-class
Class PeriodicArmaSpec	innovationVariances,PeriodicArmaSpec-method PeriodicArmaSpec-class
Class PeriodicArModel	PeriodicArModel-class
Create objects from class PeriodicArModel	PeriodicArModel PeriodicArModel,matrix-method PeriodicArModel,numeric-method PeriodicArModel,PeriodicArmaModel-method PeriodicArModel,PeriodicMonicFilterSpec-method PeriodicArModel,VirtualPeriodicArmaModel-method PeriodicArModel-methods
Class PeriodicAutocorrelations	PeriodicAutocorrelations-class plot,PeriodicAutocorrelations,missing-method
Class PeriodicAutocovariances	PeriodicAutocovariances-class
Class PeriodicBJFilter	PeriodicBJFilter-class PeriodicMonicFilterSpec-class
Class PeriodicFilterModel	PeriodicFilterModel-class
Class PeriodicIntegratedArmaSpec	PeriodicIntegratedArmaSpec-class
Class PeriodicInterceptSpec	PeriodicInterceptSpec-class
Class PeriodicMaModel	PeriodicMaModel-class
Class '"PeriodicMTS_ts"'	PeriodicMTS_ts-class
Class '"PeriodicMTS_zooreg"'	PeriodicMTS_zooreg-class
Class '"PeriodicMTS"'	PeriodicMTS-class plot,PeriodicMTS,missing-method
Class PeriodicSPFilter	PeriodicSPFilter-class
Class PeriodicTimeSeries	PeriodicTimeSeries-class
Class '"PeriodicTS_ts"'	PeriodicTS_ts-class
Class '"PeriodicTS_zooreg"'	PeriodicTS_zooreg-class
Class '"PeriodicTS"'	coerce,mts,PeriodicTS-method coerce,PeriodicTS,ts-method coerce,ts,PeriodicTS-method PeriodicTS-class plot,PeriodicTS,missing-method show,PeriodicTS-method summary,PeriodicTS-method
Class PeriodicVector	PeriodicVector PeriodicVector-class
Convert between periodic centering and intercepts	intercept2permean permean2intercept
Compute the multi-companion form of a per model	permodelmf
Convert PIAR coefficients to PAR coefficients	pi1ar2par piar2par
Class PiPeriodicArmaModel	PiPeriodicArmaModel-class
Class PiPeriodicArModel	PiPeriodicArModel-class
Class PiPeriodicMaModel	PiPeriodicMaModel-class
McLeod-Ljung-Box test for periodic white noise	pwn_McLeodLjungBox_test
Class SamplePeriodicAutocorrelations	SamplePeriodicAutocorrelations-class
Class SamplePeriodicAutocovariances	SamplePeriodicAutocovariances-class
Methods for seqSeasons() in package pcts	seqSeasons,BasicCycle-method seqSeasons,Cyclic-method seqSeasons,VirtualPeriodicModel-method seqSeasons-methods
Methods for 'sigmaSq' in package pcts	sigmaSq,PeriodicIntegratedArmaSpec-method sigmaSq,PeriodicInterceptSpec-method sigmaSq-methods
Create a random periodic autocovariance function	sim_parAcvf
Generate a periodic autoregression model	sim_parCoef
Simulate periodically correlated ARMA series	sim_pc
Simulate periodic white noise	sim_pwn
Class SimpleCycle	SimpleCycle-class
Class SiPeriodicArmaModel	SiPeriodicArmaModel-class
Class SiPeriodicArModel	SiPeriodicArModel-class
Class SiPeriodicMaModel	SiPeriodicMaModel-class
Functions for some basic operations with seasons	toSeason toSeasonPair ttmatToslPairs ttTosl
Class SubsetPM	coef,SubsetPM-method fitted,SubsetPM-method residuals,SubsetPM-method show,SubsetPM-method SubsetPM-class vcov,SubsetPM-method
Test for periodic integration	test_piar
Methods for 'unitCycle' and 'unitSeason' in package pcts	unitCycle,ANY-method unitCycle,Cyclic-method unitCycle,DayWeekCycle-method unitCycle,Every30MinutesCycle-method unitCycle,MonthYearCycle-method unitCycle,OpenCloseCycle-method unitCycle,PartialCycle-method unitCycle,QuarterYearCycle-method unitCycle,SimpleCycle-method unitCycle,VirtualPeriodicModel-method unitCycle-methods unitSeason,ANY-method unitSeason,Cyclic-method unitSeason,DayWeekCycle-method unitSeason,Every30MinutesCycle-method unitSeason,MonthYearCycle-method unitSeason,OpenCloseCycle-method unitSeason,PartialCycle-method unitSeason,QuarterYearCycle-method unitSeason,SimpleCycle-method unitSeason,VirtualPeriodicModel-method unitSeason-methods
Methods for '`unitCycle<-`' and '`unitSeason<-`' in package pcts	unitCycle<-,Cyclic-method unitCycle<-,SimpleCycle-method unitCycle<--methods unitSeason<-,Cyclic-method unitSeason<-,SimpleCycle-method unitSeason<--methods
Core data of periodic time series	pcArray pcMatrix pctsArray tsMatrix tsVec tsVector Vec
Periodic methods for base R functions	cycle.PeriodicTimeSeries deltat.PeriodicTimeSeries end.Cyclic frequency.PeriodicTimeSeries na.trim na.trim.PeriodicMTS na.trim.PeriodicTS start.Cyclic time.PeriodicTimeSeries window window.PeriodicMTS window.PeriodicTS
Class zoo made S4	zoo-class
Virtual S4 class zooreg	zooreg-class