Time Series Analysis with STSA and O-Matrix

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STSA - Time Series Application Examples

The stsa\examples directory of the product distribution provides numerous examples to illustrate usage of the toolbox and to demonstrate applications of real-world problems. The following samples are few from the distribution

Example 1 - Simulate a stationary, zero mean Gaussian autoregressive model of order 2 and perform various operations on the resulting realization
Example 2 - Simulate a nonlinear (exponential) trend with Gaussian MA innovations
Example 3 - Illustrate the differences between the two available kernels for nonparametric estimation and forecasting. Then, we illustrate the differences in the fit between a linear and a nonparametric regression when the true model is nonlinear but unknown
Example 4 - Illustrate the estimation and forecasting of ARFIMA-type models. This class of models extends traditional, short-memory ARMA models, to incorporate the effects of long-memory
Example 5 - Demonstrate the following STSA functions: acvf_spectrum, ar_order, ar_spectrum, arma_simulate, plot_spectrum, and spectrum
Example 6 - Illustrate the use of the Holt-Winters method for forecasting
Example 7 - Analysis of the SOI and Recruitment data in Shumway and Stoffer, Time Series Analysis and its Applications, published by Springer-Verlag
Example 8 - Analysis of the glacial varve data in Shumway and Stoffer, Time Series Analysis and its Applications, published by Springer-Verlag
Example 9 - Nonparametric estimation of the density and empirical distribution for a time series using: 1) Simulated data, and 2) The quarterly growth rate of the US Gross National Product
Example 10 - Nonparametric smoothing and extrapolation using daily closing price of General Electric from 1/02/2003 to 1/17/2006.
Example 11 - Constructing the trajectory matrix, applying SVD decomposition and reconstruction of trend and seasonal using unemployment data.
Example 12 - Constructing the trajectory matrix, applying SVD decomposition, reconstruction and forecasting using monthly US Imports from China, Jan-1990 to June-2006, FRED database series IMPCH

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