pcts
Periodically Correlated and Periodically Integrated Time Series
v0.15.8
·
Mar 17, 2025
·
GPL (>= 2)
Description
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>.
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0.15.8
Mar 9, 2026