d02pdc

Ordinary differential equations solver, initial value problems, one time step using Runge–Kutta methods

g05hac

ARMA time series of n terms

g05hkc

Univariate time series, generate n terms of either a symmetric GARCH process or a GARCH process with asymmetry of the form (ε_{t1} + γ)^{2} 
g05hlc

Univariate time series, generate n terms of a GARCH process with asymmetry of the form (ε_{t1} + γ ε_{t1})^{2} 
g05hmc

Univariate time series, generate n terms of an asymmetric Glosten, Jagannathan and Runkle (GJR) GARCH process

g05pac

Generates a realisation of a time series from an ARMA model

g05pcc

Generates a realisation of a multivariate time series from a VARMA model

g13aac

Univariate time series, seasonal and nonseasonal differencing 
g13asc

Univariate time series, diagnostic checking of residuals, following g13bec 
g13bac

Multivariate time series, filtering (prewhitening) by an ARIMA model 
g13bbc

Multivariate time series, filtering by a transfer function model 
g13bcc

Multivariate time series, crosscorrelations 
g13bdc

Multivariate time series, preliminary estimation of transfer function model 
g13bec

Estimation for time series models

g13cac

Univariate time series, smoothed sample spectrum using rectangular, Bartlett, Tukey or Parzen lag window 
g13cbc

Univariate time series, smoothed sample spectrum using spectral smoothing by the trapezium frequency (Daniell) window 
g13ccc

Multivariate time series, smoothed sample cross spectrum using rectangular, Bartlett, Tukey or Parzen lag window 
g13cdc

Multivariate time series, smoothed sample cross spectrum using spectral smoothing by the trapezium frequency (Daniell) window 
g13cec

Multivariate time series, cross amplitude spectrum, squared coherency, bounds, univariate and bivariate (cross) spectra 
g13cfc

Multivariate time series, gain, phase, bounds, univariate and bivariate (cross) spectra 
g13cgc

Multivariate time series, noise spectrum, bounds, impulse response function and its standard error 
g13dbc

Multivariate time series, multiple squared partial autocorrelations 
g13dlc

Multivariate time series, differences and/or transforms 
g13dmc

Multivariate time series, sample crosscorrelation or crosscovariance matrices

g13dnc

Multivariate time series, sample partial lag correlation matrices, χ^{2} statistics and significance levels 
g13dpc

Multivariate time series, partial autoregression matrices

g13eac

One iteration step of the timevarying Kalman filter recursion using the square root covariance implementation

g13ebc

One iteration step of the timeinvariant Kalman filter recursion using the square root covariance implementation with (A,C) in lower observer Hessenberg form

g13ecc

One iteration step of the timevarying Kalman filter recursion using the square root information implementation

g13edc

One iteration step of the timeinvariant Kalman filter recursion using the square root information implementation with (A^{1}, A^{1} B) in upper controller Hessenberg form

g13fac

Univariate time series, parameter estimation for either a symmetric GARCH process or a GARCH process with asymmetry of the form (ε_{t1} + γ)^{2} 
g13fbc

Univariate time series, forecast function for either a symmetric GARCH process or a GARCH process with asymmetry of the form (ε_{t1} + γ)^{2} 
g13fcc

Univariate time series, parameter estimation for a GARCH process with asymmetry of the form (ε_{t1} + γ ε_{t1})^{2} 
g13fdc

Univariate time series, forecast function for a GARCH process with asymmetry of the form (ε_{t1} + γ ε_{t1})^{2} 
g13fec

Univariate time series, parameter estimation for an asymmetric Glosten, Jagannathan and Runkle (GJR) GARCH process

g13ffc

Univariate time series, forecast function for an asymmetric Glosten, Jagannathan and Runkle (GJR) GARCH process
