T Index Page
Keyword Index for the NAG C Library Manual
NAG C Library Manual

Keyword : Time

d02pdc   Ordinary differential equations solver, initial value problems, one time step using Runge–Kutta methods
g05pdc   Generates a realization of a time series from a GARCH process with asymmetry of the form (εt1 + γ)2
g05pec   Generates a realization of a time series from a GARCH process with asymmetry of the form (|εt1| + γεt1)2
g05pfc   Generates a realization of a time series from an asymmetric Glosten, Jagannathan and Runkle (GJR) GARCH process
g05pgc   Generates a realization of a time series from an exponential GARCH (EGARCH) process
g05phc   Generates a realization of a time series from an ARMA model
g05pjc   Generates a realization of a multivariate time series from a VARMA model
g13aac   Univariate time series, seasonal and non-seasonal differencing
g13asc   Univariate time series, diagnostic checking of residuals, following g13bec
g13bac   Multivariate time series, filtering (pre-whitening) by an ARIMA model
g13bbc   Multivariate time series, filtering by a transfer function model
g13bcc   Multivariate time series, cross-correlations
g13bdc   Multivariate time series, preliminary estimation of transfer function model
g13bec   Estimation for time series models
g13bgc   Multivariate time series, update state set for forecasting from multi-input model
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
g13ddc   Multivariate time series, estimation of VARMA model
g13djc   Multivariate time series, forecasts and their standard errors
g13dkc   Multivariate time series, updates forecasts and their standard errors
g13dlc   Multivariate time series, differences and/or transforms
g13dmc   Multivariate time series, sample cross-correlation or cross-covariance matrices
g13dnc   Multivariate time series, sample partial lag correlation matrices, χ2 statistics and significance levels
g13dpc   Multivariate time series, partial autoregression matrices
g13dsc   Multivariate time series, diagnostic checking of residuals, following g13ddc
g13eac   One iteration step of the time-varying Kalman filter recursion using the square root covariance implementation
g13ebc   One iteration step of the time-invariant Kalman filter recursion using the square root covariance implementation with (A,C) in lower observer Hessenberg form
g13ecc   One iteration step of the time-varying Kalman filter recursion using the square root information implementation
g13edc   One iteration step of the time-invariant Kalman filter recursion using the square root information implementation with (A1,A1B) 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 (εt1 + γ)2
g13fbc   Univariate time series, forecast function for either a symmetric GARCH process or a GARCH process with asymmetry of the form (εt1 + γ)2
g13fcc   Univariate time series, parameter estimation for a GARCH process with asymmetry of the form (|εt1| + γεt1)2
g13fdc   Univariate time series, forecast function for a GARCH process with asymmetry of the form (|εt1| + γεt1)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

T Index Page
Keyword Index for the NAG C Library Manual
NAG C Library Manual

© The Numerical Algorithms Group Ltd, Oxford UK. 2012