‘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:

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`

. The data from Franses (1996) are available for examples and experiments as `dataFranses1996`

, see `?dataFranses1996`

. `dataFranses1996`

is of class `"mts"`

(the standard R class for multivariate time series).

This is a major update of (unreleased) previous versions of ‘pcts’ which have been used in the last fifteen years or so by me and collaborators. I renamed a number of functions and other objects to improve consistency and to follow the current convention not to use dot (`.`

) in function names. Also, I have temporarily removed some functions which will be put back after suitable revision.