partialAR: Partial Autoregression

A time series is said to be partially autoregressive if it can be represented as a sum of a random walk and an autoregressive sequence without unit roots. This package fits partially autoregressive time series, where the autoregressive component is AR(1). This may be of use in modeling certain financial time series.

Version: 1.0.12
Imports: Rcpp (≥ 0.11.2), zoo, parallel, ggplot2, MASS, tseries, data.table, KFAS, urca, plot3D, methods
LinkingTo: Rcpp
Suggests: egcm, TTR
Published: 2020-04-14
Author: Matthew Clegg [aut, cre, cph]
Maintainer: Matthew Clegg <matthewcleggphd at>
License: GPL-2 | GPL-3
NeedsCompilation: yes
Materials: README
CRAN checks: partialAR results


Reference manual: partialAR.pdf


Package source: partialAR_1.0.12.tar.gz
Windows binaries: r-devel:, r-devel-UCRT:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): partialAR_1.0.12.tgz, r-release (x86_64): partialAR_1.0.12.tgz, r-oldrel: partialAR_1.0.12.tgz
Old sources: partialAR archive

Reverse dependencies:

Reverse depends: partialCI


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