sarima: Simulation and Prediction with Seasonal ARIMA Models
Functions, classes and methods for time series modelling with ARIMA
and related models. The aim of the package is to provide consistent
interface for the user. For example, a single function autocorrelations()
computes various kinds of theoretical and sample autocorrelations. This is
work in progress, see the documentation and vignettes for the current
functionality. Function sarima() fits extended multiplicative seasonal
ARIMA models with trends, exogenous variables and arbitrary roots on the
unit circle, which can be fixed or estimated (for the algebraic basis for
this see <arXiv:2208.05055>, a paper on the methodology is being prepared).
The suggested package 'FitARMA' can be installed with
'remotes::install_github("cran/FitARMA")' if necessary but is no longer
needed in normal use.
| Version: |
0.9.1 |
| Depends: |
R (≥ 2.10), stats4 |
| Imports: |
methods, graphics, stats, utils, PolynomF (≥ 1.0-0), Formula, lagged (≥ 0.2.1), Rcpp (≥ 0.12.14), Rdpack, numDeriv, ltsa |
| LinkingTo: |
Rcpp, RcppArmadillo |
| Suggests: |
testthat, KFAS, FKF, FitARMA, fGarch, forecast |
| Published: |
2022-08-11 |
| Author: |
Georgi N. Boshnakov [aut, cre],
Jamie Halliday [aut] |
| Maintainer: |
Georgi N. Boshnakov <georgi.boshnakov at manchester.ac.uk> |
| BugReports: |
https://github.com/GeoBosh/sarima/issues |
| License: |
GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| URL: |
https://github.com/GeoBosh/sarima (devel)
https://geobosh.github.io/sarima/ (doc) |
| NeedsCompilation: |
yes |
| Materials: |
README NEWS |
| CRAN checks: |
sarima results |
Documentation:
Downloads:
Reverse dependencies:
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