Category Archives: time series

ARIMA-model-based decomposition of time series in R
The tsdecomp R package

I have recently submitted a new package to CRAN. The tsdecomp package performs ARIMA-model-based decomposition of time series data. It is intended mainly for annual, quarterly and monthly time series. Upon an ARIMA model fitted to the observed data, the … Continue reading

Posted in R, time series | Tagged , | Leave a comment

The uroot R package is back

I have recently submitted to CRAN a new version of package uroot. It is based on a older version of the package that I developed for my graduate dissertation. At present, the package implements the Canova and Hansen (CH) [1] … Continue reading

Posted in R, time series | Tagged , , | Leave a comment

An application of OpenMP and Graphics Processing Units parallel threads
Numerical distribution functions of unit root tests

Lately, I have been learning to programme on a Graphics Processing Unit (GPU). Thanks to the CUDA computing platform, it is relatively easy to programme on these devices. Despite the syntax is simple, it requires some experimentation, trial and errors, … Continue reading

Posted in performance, simulations, time series | Tagged , , , | Leave a comment

The role of exogenous and lagged variables in ARIMA and linear regression models

The comparison of an autoregressive model with exogenous regressors and the linear regression model is a recurrent question at Cross Validated. The question often arises when an autoregressive model with exogenous variables is fitted as a linear regression model with … Continue reading

Posted in time series | Tagged , , , | Leave a comment

Signal extraction in time series, as simple as that?

Frequency-domain filters provide a straightforward way to decompose a time series. In this post I briefly introduce this approach advocated by Prof. D. Stephen G. Pollock in this document that introduces the software IDEOLOG. As pointed out by Prof. Pollock, … Continue reading

Posted in R, time series | Tagged , , , | Leave a comment