Casting

R code, scripts, data, figures, and mathematical proofs for the paper "Casting Vector Time Series: Algorithms for Forecasting, Imputation, and Signal Extraction," submitted for publication at Electronic Journal of Statistics. Note that the Retail Shoe Store data could not be released, and so the script will not allow for replication. The Starts data is automatically loaded in the Ecce Signum package, whereas the Dominick data must be manually loaded.

Contents

1. castSuppEJS: pdf with mathematical proofs, discussion of Wiener Kolmogorov calculations, and figures.
2. ScriptCastingStarts_EJS.r: R script for analysis of Housing Starts data.
3. ScriptCastingDominick_EJS.r: R script for analysis of Dominick Retail data.
4. ScriptCastingRet_EJS.r: R script for analysis of Retail Shoe Store data.
5. ScriptSim.r: R script to conduct simulations for the paper.
6. bullwhipCase.dat: file of Dominick Retail data.
7. sigex-master.zip: zip file of a July 2021 vintage of the Ecce Signum package.