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IMSL Routines for Time Series and Forecasting

IMSL Routines for Time Series and Forecasting

IMSL_ARMA: Computes least-squares or method-of-moments estimates of parameters and optionally computes forecasts and their associated probability limits.

IMSL_AUTOCORRELATION: Sample autocorrelation function.

IMSL_BOXCOXTRANS: Perform a Box-Cox transformation.

IMSL_DIFFERENCE: Performs differencing on a time series.

IMSL_GARCH: Compute estimates of the parameters of a GARCH(p,q) model.

IMSL_KALMAN: Performs Kalman filtering and evaluates the likelihood function for the statespace model.

IMSL_LACK_OF_FIT: Lack-of-fit test based on the correlation function.

IMSL_PARTIAL_AC: Sample partial autocorrelation function.



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