forecastSNSTS: Forecasting for Stationary and Non-Stationary Time Series

Methods to compute linear h-step ahead prediction coefficients based on localised and iterated Yule-Walker estimates and empirical mean squared prediction errors for the resulting predictors. Also, functions to compute autocovariances for AR(p) processes, to simulate tvARMA(p,q) time series, and to verify an assumption from Kley et al. (2017), Preprint arXiv:1611.04460 <>.

Version: 1.1-1
Depends: R (≥ 3.2.3)
Imports: Rcpp
LinkingTo: Rcpp
Suggests: testthat
Published: 2017-01-20
Author: Tobias Kley [aut, cre], Philip Preuss [aut], Piotr Fryzlewicz [aut]
Maintainer: Tobias Kley <t.kley at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
Materials: NEWS
CRAN checks: forecastSNSTS results


Reference manual: forecastSNSTS.pdf
Package source: forecastSNSTS_1.1-1.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
OS X Mavericks binaries: r-release: forecastSNSTS_1.1-1.tgz, r-oldrel: forecastSNSTS_1.1-1.tgz
Old sources: forecastSNSTS archive


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