tuckermcelroy

BEwebinar

Materials for ASA Webinar sponsored by Business and Economics Section

Casting

frobnorm

R code, scripts, and data for "Model Identification via Total Frobenius Norm of Multivariate Spectra"

GARCH-param

Stationary parameterization of GARCH processes

ma189

Course materials for UCSD class ma189, winter 2021.

maxentropy

Code for maximum entropy extreme value adjustment

MDFA-code

R code for MDFA book

sigex

An R package for multivariate signal extraction

varhi

R code for variable selection and dimension reduction of time series data using vector autoregression

VarmaAcf

R programs to compute autocovariances of VARMA processes

tuckermcelroy/ma189

Course materials for UCSD class ma189, winter 2021.

tuckermcelroy/sigex

An R package for multivariate signal extraction

tuckermcelroy/BEwebinar

Materials for ASA Webinar sponsored by Business and Economics Section

tuckermcelroy/varhi

R code for variable selection and dimension reduction of time series data using vector autoregression

tuckermcelroy/VarmaAcf

R programs to compute autocovariances of VARMA processes

tuckermcelroy/maxentropy

Code for maximum entropy extreme value adjustment

tuckermcelroy/Casting

tuckermcelroy/frobnorm

R code, scripts, and data for "Model Identification via Total Frobenius Norm of Multivariate Spectra"

tuckermcelroy/GARCH-param

Stationary parameterization of GARCH processes

tuckermcelroy/MDFA-code

R code for MDFA book

tuckermcelroy/QuadraticPrediction

Quadratic forecasting for time series data

tuckermcelroy/RootId

R code for unit root identification

tuckermcelroy/SpecLocal

Code and data for paper "Estimating the spectral density at frequencies near zero"