‘pcts’ is an R package for modelling periodically correlated and periodically integrated time series.
The latest stable version is on CRAN.
install.packages("pcts")You can install the development version of pcts from Github:
library(devtools)
install_github("GeoBosh/pcts")If R complains about insufficient version of package ‘lagged’, install it from github with install_github("GeoBosh/lagged").
Periodic time series can be created with pcts(). Models are fitted with fitPM(), see the examples in the documentation. The data from Franses (1996) are available for examples and experiments, see ?dataFranses1996. A good place to start is the help topic pcts-package.
This is a beta version with the view of release on CRAN in the next few months. Suggestions and bug reports are welcome. This is a major update of (unreleased) previous versions of ‘pcts’ which have been used by me and collaborators in the last fifteen years or so. I have temporarily removed some functions which will be put back after suitable revision.
The documentation is still in a ‘development’ state. In particular, pages for S4 classes nd methods will eventually be declared internal and not clutter the reference guide.