Software for the methods presented and applied in the book
There is a wide range of software functions written to implement the times series methods presented in the book. These functions, their documentation and associated sample programs are made available here, grouped by the chapter in which they are first presented. There is an additional group of general functions. There is further material available to support these functions, specifically the description and explanation of algorithms which they use, to be found on the Algorithms/Technical page, and any theory not to be found, or referenced, in the book, on the Derivations/Proofs page.
The software used is MATLAB, mainly because our initial development of this project began 20 years ago before some now popular languages such as R were available. It is a high level and easily understood interpreted language which nevertheless retains computational efficiency except where deeply nested loops are employed. It is also relatively straightforward to translate MATLAB software into other high level languages. MATLAB is not free, but there are some free clones available which generally run MATLAB code with little modification. Translation to these is more straightforward because we have not used any MATLAB toolboxes, though there are standard MATLAB functions used, for which generic substitutes would need to be found.
The downloadable MATLAB code is in zipped form because the file extension *.m used by MATLAB for files of code is also used for Objective-C Implementation files which are not allowable by the web authoring software.
Currently (as of September 2019) there is substantial material provided for Chapter 2 on Lagged regression and autoregressive models, Chapter 3 on Spectral analysis and Chapter 8 on Irregularly sampled series. Material for the remaining chapters is in preparation.