U Index Page
Keyword Index for the NAG Library Manual
NAG Library Manual

Keyword : Univariate

G05PEF   Generates a realization of a time series from a GARCH process with asymmetry of the form (|εt - 1| + γεt - 1)2
G05PFF   Generates a realization of a time series from an asymmetric Glosten, Jagannathan and Runkle (GJR) GARCH process
G05PGF   Generates a realization of a time series from an exponential GARCH (EGARCH) process
G13AAF   Univariate time series, seasonal and non-seasonal differencing
G13ABF   Univariate time series, sample autocorrelation function
G13ACF   Univariate time series, partial autocorrelations from autocorrelations
G13ADF   Univariate time series, preliminary estimation, seasonal ARIMA model
G13AEF   Univariate time series, estimation, seasonal ARIMA model (comprehensive)
G13AFF   Univariate time series, estimation, seasonal ARIMA model (easy-to-use)
G13AGF   Univariate time series, update state set for forecasting
G13AHF   Univariate time series, forecasting from state set
G13AJF   Univariate time series, state set and forecasts, from fully specified seasonal ARIMA model
G13ASF   Univariate time series, diagnostic checking of residuals, following G13AEF or G13AFF
G13CAF   Univariate time series, smoothed sample spectrum using rectangular, Bartlett, Tukey or Parzen lag window
G13CBF   Univariate time series, smoothed sample spectrum using spectral smoothing by the trapezium frequency (Daniell) window
G13CEF   Multivariate time series, cross amplitude spectrum, squared coherency, bounds, univariate and bivariate (cross) spectra
G13CFF   Multivariate time series, gain, phase, bounds, univariate and bivariate (cross) spectra
G13FAF   Univariate time series, parameter estimation for either a symmetric GARCH process or a GARCH process with asymmetry of the form (εt - 1 + γ)2
G13FBF   Univariate time series, forecast function for either a symmetric GARCH process or a GARCH process with asymmetry of the form (εt - 1 + γ)2
G13FCF   Univariate time series, parameter estimation for a GARCH process with asymmetry of the form (|εt - 1| + γεt - 1)2
G13FDF   Univariate time series, forecast function for a GARCH process with asymmetry of the form (|εt - 1| + γεt - 1)2
G13FEF   Univariate time series, parameter estimation for an asymmetric Glosten, Jagannathan and Runkle (GJR) GARCH process
G13FFF   Univariate time series, forecast function for an asymmetric Glosten, Jagannathan and Runkle (GJR) GARCH process
G13FGF   Univariate time series, parameter estimation for an exponential GARCH (EGARCH) process
G13FHF   Univariate time series, forecast function for an exponential GARCH (EGARCH) process

U Index Page
Keyword Index for the NAG Library Manual
NAG Library Manual

© The Numerical Algorithms Group Ltd, Oxford UK. 2011