I just submitted a new, majorly improved ForeCA R package to CRAN. Motivated by a bug report on
whiten() I went ahead and rewrote and tested lots of the main functions in the package; now ForeCA is as shiny as never before.
For R users there isn’t a lot that will change (changelog): just use it as usual as
X is your multivariate (approximately) stationary time series (as a
ts object in R).
library(ForeCA) ret <- ts(diff(log(EuStockMarkets)) * 100) mod <- foreca(ret, spectrum.control = list(method = "wosa")) mod summary(mod) plot(mod)
I will add a vignette in upcoming versions.