Top-level API

All public symbols are importable directly from TimeSeriesSRC:

import TimeSeriesSRC as ts
ts.pmodel(...)
ts.estimate(...)

Model building

pmodel
estimate
selpmod	Select the best prediction model by grid-searching AIC and BIC.

Model assessment

pmoddisp	Print a parameter table and produce an error-bar plot.
pmodsim	Simulate the output of a prediction model driven by white noise.
pmodaic	Compute the Akaike Information Criterion (AIC) for a fitted model.
pmodbic	Compute the Bayesian Information Criterion (BIC) for a fitted model.
pmodmse	Compute the mean squared prediction error (MSE) for a fitted model.

Time series analysis

uniAnal	Compute and plot the ACF, PACF, and GPAC for a univariate time series.
multiAnal	Multivariate analysis: impulse response, residual ACF, and GPAC tables.
uniChi	Box-Pierce portmanteau chi-square test on one-step-ahead residuals.
multiChi	Multivariate chi-square tests for transfer function model validation.

Utilities

sdiff	Apply seasonal (or regular) differencing to a time series.
xcorr	Compute the cross-correlation (or autocorrelation) between two sequences.
parcor	Compute the partial autocorrelation function via the Levinson-Durbin algorithm.
partoacf	Compute the theoretical autocovariance function of an ARMA process.
gpac	Compute the Generalized Partial Autocorrelation (GPAC) table.
impest	Estimate the impulse response between two sequences (Wiener-Hopf method).