This is the home page of Tucker McElroy. I am a mathematician, employed as a research statistician at the U.S. Census Bureau. Also, I am an amateur poet writing under the pseudonym Onesimus Dome.

Code Repositories

1. Ecce Signum: An R Package for multivariate signal extraction
2. Casting: R code and supplementary material for paper “Casting Vector Time Series: Algorithms for Forecasting, Imputation, and Signal Extraction”
3. varhi: R code for variable selection and dimension reduction of time series data using vector autoregression
4. QuadraticPrediction: Quadratic forecasting for time series data
5. SpecLocal: Code and data for paper “Estimating the Spectral Density at Frequencies Near Zero”
6. RootId: R code for unit root identification
7. maxentropy: Code for maximum entropy extreme value adjustment
8. frobnorm: R code, scripts, and data for paper “Model Identification via Total Frobenius Norm of Multivariate Spectra”
9. GARCH-param: Stationary parameterization of GARCH processes
10. VARMAacf: R programs to compute autocovariances of VARMA processes
11. BEwebinar: Materials for ASA Webinar on time series sponsored by Business and Economics Section
12. ma189: Course materials for UCSD class ma189, winter 2021

Multivariate Real-Time Signal Extraction

• Chapter 3 of this e-book: this is a sample intended as a preview, so the links to other chapters or equations are disabled.
• Code Repo: R code for the e-book.

Poetry

• Onesimus Dome