Time Series and Forecasting Routines

IMSL_ARMA Models

IMSL_ARMA—Computes least-squares or method-of-moments estimates of parameters and optionally computes forecasts and their associated probability limits.

IMSL_DIFFERENCE—Performs differencing on a time series.

IMSL_BOXCOXTRANS—Perform a Box-Cox transformation.

IMSL_AUTOCORRELATION—Sample autocorrelation function.

IMSL_PARTIAL_AC—Sample partial autocorrelation function.

IMSL_LACK_OF_FIT—Lack-of-fit test based on the correlation function.

IMSL_GARCH—Compute estimates of the parameters of a GARCH(p,q) model.

IMSL_KALMAN—Performs Kalman filtering and evaluates the likelihood function for the statespace model.