A time series is said to be partially autoregressive if it can be represented as a sum of a random walk and an autoregressive sequence without unit roots. This package fits partially autoregressive time series, where the autoregressive component is AR(1). This may be of use in modeling certain financial time series.

Documentation

Manual: partialAR.pdf
Vignette: None available.

Maintainer: Matthew Clegg <matthewcleggphd at gmail.com>

Author(s): Matthew Clegg*

Install package and any missing dependencies by running this line in your R console:

install.packages("partialAR")

Depends
Imports Rcpp(>=0.11.2), zoo, parallel, ggplot2, MASS, tseries, data.table, FKF, urca, plot3D, methods
Suggests egcm, TTR
Enhances
Linking to Rcpp
Reverse
depends
partialCI
Reverse
imports
Reverse
suggests
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enhances
Reverse
linking to

Package partialAR
Materials
URL
Task Views
Version 1.0.10
Published 2017-04-18
License GPL-2 | GPL-3
BugReports
SystemRequirements
NeedsCompilation yes
Citation
CRAN checks partialAR check results
Package source partialAR_1.0.10.tar.gz