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

Keyword : time

G05HKF   Univariate time series, generate n terms of either a symmetric GARCH process or a GARCH process with asymmetry of the form (εt-1+γ)2
G05HLF   Univariate time series, generate n terms of a GARCH process with asymmetry of the form (|εt-1|+γεt-1)2
G05HMF   Univariate time series, generate n terms of an asymmetric Glosten, Jagannathan and Runkle (GJR) GARCH process
G05HNF   Univariate time series, generate n terms of an exponential GARCH (EGARCH) process
G05PAF   Generates a realisation of a time series from an ARMA model
G05PCF   Generates a realisation of a multivariate time series from a VARMA model
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
G13BAF   Multivariate time series, filtering (pre-whitening) by an ARIMA model
G13BBF   Multivariate time series, filtering by a transfer function model
G13BCF   Multivariate time series, cross-correlations
G13BDF   Multivariate time series, preliminary estimation of transfer function model
G13BEF   Multivariate time series, estimation of multi-input model
G13BGF   Multivariate time series, update state set for forecasting from multi-input model
G13BHF   Multivariate time series, forecasting from state set of multi-input model
G13BJF   Multivariate time series, state set and forecasts from fully specified multi-input model
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
G13CCF   Multivariate time series, smoothed sample cross spectrum using rectangular, Bartlett, Tukey or Parzen lag window
G13CDF   Multivariate time series, smoothed sample cross 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
G13CGF   Multivariate time series, noise spectrum, bounds, impulse response function and its standard error
G13DBF   Multivariate time series, multiple squared partial autocorrelations
G13DCF   Multivariate time series, estimation of VARMA model
G13DJF   Multivariate time series, forecasts and their standard errors
G13DKF   Multivariate time series, updates forecasts and their standard errors
G13DLF   Multivariate time series, differences and/or transforms
G13DMF   Multivariate time series, sample cross-correlation or cross-covariance matrices
G13DNF   Multivariate time series, sample partial lag correlation matrices, χ2 statistics and significance levels
G13DPF   Multivariate time series, partial autoregression matrices
G13DSF   Multivariate time series, diagnostic checking of residuals, following G13DCF
G13EAF   Combined measurement and time update, one iteration of Kalman filter, time-varying, square root covariance filter
G13EBF   Combined measurement and time update, one iteration of Kalman filter, time-invariant, square root covariance filter
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
X05AAF   Return date and time as an array of integers
X05ABF   Convert array of integers representing date and time to character string
X05ACF   Compare two character strings representing date and time
X05BAF   Return the CPU time

T Index Page
Keyword Index for the NAG Library Manual
NAG Library Manual
The Numerical Algorithms Group Ltd, Oxford UK. 2006