itsmr: Time Series Analysis Using the Innovations Algorithm
Provides functions for modeling and forecasting time series data. Forecasting is based on the innovations algorithm. A description of the innovations algorithm can be found in the textbook "Introduction to Time Series and Forecasting" by Peter J. Brockwell and Richard A. Davis. <https://link.springer.com/book/10.1007/b97391>.
Please use the canonical form
to link to this page.