‘pcts’ is an R package for modelling periodically correlated and periodically integrated time series.

Install the latest stable version of `pcts`

from CRAN:

You can install the development version of `pcts`

from Github:

# Overview

Periodic time series can be created with `pcts()`

. Models are fitted with `fitPM()`

and several other functions. To obtain periodic properties, such as sample periodic autocorrelations of periodic time series or theoretical periodic autocorrelations of periodic models, just call the respective functions (here `autocorrelations()`

and `partialAutocorrelations()`

) and they will compute the relevant property depending on the class of the argument, see the examples in the documentation.

A good place to start is the help topic `?pcts-package`

. Several datasets are available for examples and experiments. For example, `?dataFranses1996`

contains the data from Franses (1996). The datasets are from classes `"mts"`

or `"ts"`

(the standard R classes for time series), so can be used without loading pcts, if desired.