swMATH ID: 40070
Software Authors: Ben O'Neill
Description: R package ts.extend: Stationary Gaussian ARMA Processes and Other Time-Series Utilities. Stationary Gaussian ARMA processes and the stationary ’GARMA’ distribution are fundamental in time series analysis. Here we give utilities to compute the auto-covariance/auto-correlation for a stationary Gaussian ARMA process, as well as the probability functions (density, cumulative distribution, random generation) for random vectors from this distribution. We also give functions for the spectral intensity, and the permutation-spectrum test for testing a time-series vector for the presence of a signal.
Homepage: https://cran.r-project.org/web/packages/ts.extend/index.html
Source Code:  https://github.com/cran/ts.extend
Dependencies: R
Keywords: arXiv_stat.CO; R; R package; Gaussian ARMA models; spectral intensity; permutation-spectrum test; time-series
Related Software: zoo; timeDate; tseries; lubridate; xts; TSstudio; tsutils; forecast; chron; fts; R
Cited in: 0 Documents

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Gaussian ARMA models in the ts.extend package
Ben O'Neill