| Chapter Introduction | |
| Module 29.1: nag_tsa_identify - Time series analysis identification | |
| nag_tsa_acf | Calculates the sample autocorrelation function of a univariate time series |
| nag_tsa_pacf | Calculates the sample partial autocorrelation function of a univariate time series |
| Module 29.2: nag_tsa_kalman - Kalman filtering | |
| nag_kalman_init | Provides an initial estimate of the Kalman filter state covariance matrix |
| nag_kalman_predict | Calculates a one step prediction for the square root covariance Kalman filter |
| nag_kalman_sqrt_cov_var | Calculates a time-varying square root covariance Kalman filter |
| nag_kalman_sqrt_cov_invar | Calculates a time-invariant square root covariance Kalman filter |