May the ForeC be with you: R package ForeCA v0.2.0

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 foreca(X), where X is your multivariate (approximately) stationary time series (as a matrix, data.frame, or ts object in R).

library(ForeCA)

ret <- ts(diff(log(EuStockMarkets)) * 100) 
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mod
summary(mod)
plot(mod)

I will add a vignette in upcoming versions.