ARIMA Models

ARMA Function (PV-WAVE Advantage)—Computes least-squares or method-of-moments estimates of parameters and optionally computes forecasts and their associated probability limits.

MAX_ARMA Function (PV-WAVE Advantage)—Exact maximum likelihood estimation of the parameters in a univariate ARMA (autoregressive, moving average) time series model.

AUTO_UNI_AR Function (PV-WAVE Advantage)—Automatic selection and fitting of a univariate autoregressive time series model.

TS_OUTLIER_IDENTIFICATION Function (PV-WAVE Advantage)—Detects and determines outliers and simultaneously estimates the model parameters in a time series whose underlying outlier free series follows a general seasonal or nonseasonal ARMA model.

TS_OUTLIER_FORECAST Function (PV-WAVE Advantage)—Computes forecasts, their associated probability limits and y weights for an outlier contaminated time series whose underlying outlier free series follows a general seasonal or nonseasonal ARMA model.

AUTO_ARIMA Function (PV-WAVE Advantage)—Automatically identifies time series outliers, determines parameters of a multiplicative seasonal ARIMA model and produces forecasts that incorporate the effects of outliers whose effects persist beyond the end of the series.

DIFFERENCE Function (PV-WAVE Advantage)—Performs differencing on a time series.

SEASONAL_FIT Function (PV-WAVE Advantage)—Estimates the optimum seasonality parameters for a time series using an autoregressive model, AR(p), to represent the time series.

Model Construction and Evaluation Utilities

BOXCOXTRANS Function (PV-WAVE Advantage)—Perform a Box-Cox transformation.

AUTOCORRELATION Function (PV-WAVE Advantage)—Sample autocorrelation function.

CROSSCORRELATION Function (PV-WAVE Advantage)—Computes the sample cross-correlation function of two stationary time series.

MULTI_CROSS Function (PV-WAVE Advantage)—Computes the multichannel cross-correlation function of two mutually stationary multichannel time series.

PARTIAL_AC Function (PV-WAVE Advantage)—Sample partial autocorrelation function.

LACK_OF_FIT Function (PV-WAVE Advantage)—Lack-of-fit test based on the corrleation function.

ESTIMATE_MISSING Function (PV-WAVE Advantage)—Estimates missing values in a time series.

GARCH Modeling

GARCH Function (PV-WAVE Advantage)—Compute estimates of the parameters of a GARCH(p,q) model.

Frequency Domain Modeling

KALMAN Procedure (PV-WAVE Advantage)—Performs Kalman filtering and evaluates the likelihood function for the statespace model.