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.

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Description file content

Package
sarima
Type
Package
Title
Simulation and Prediction with Seasonal ARIMA Models
Version
0.8.1
Date
2019-04-15
Description
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.
Depends
R (>= 2.10), FitAR, stats4
Imports
methods, graphics, stats, utils, PolynomF (>= 1.0-0), Formula, ltsa, FitARMA, lagged (>= 0.2.1), Rdpack, KFAS, Rcpp (>= 0.12.14), numDeriv, dplyr
Suggests
fGarch, fImport, testthat
RdMacros
Rdpack
License
GPL (>= 2)
LazyLoad
yes
Collate
RcppExports.R utils.R generics.R filterClasses.R modelClasses.R sarima.R autocovariances.R armacalc.R fit.R wrapKFAS.R arma_Q0dotdotstats.R fkf.R Kalman.R fitTools.R periodogram.R predict.Sarima.R zzz.R
LinkingTo
Rcpp, RcppArmadillo
RoxygenNote
6.1.1
NeedsCompilation
yes
Packaged
2019-05-12 19:52:57 UTC; mcbssgb2
Author
Georgi N. Boshnakov [aut, cre], Jamie Halliday [aut]
Maintainer
Georgi N. Boshnakov
Repository
CRAN
Date/Publication
2019-05-12 23:30:03 UTC

install.packages('sarima')

0.8.1

2 months ago

Georgi N. Boshnakov

GPL (>= 2)

Depends on

R (>= 2.10), FitAR, stats4

Imports

methods, graphics, stats, utils, PolynomF (>= 1.0-0), Formula, ltsa, FitARMA, lagged (>= 0.2.1), Rdpack, KFAS, Rcpp (>= 0.12.14), numDeriv, dplyr

Suggests

fGarch, fImport, testthat

Discussions