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.

Version: 0.8.2
Depends: R (≥ 2.10), FitAR, stats4
Imports: methods, graphics, stats, utils, PolynomF (≥ 1.0-0), Formula, ltsa, FitARMA, lagged (≥ 0.2.1), Rdpack, KFAS, FKF, Rcpp (≥ 0.12.14), numDeriv, dplyr
LinkingTo: Rcpp, RcppArmadillo
Suggests: fGarch, fImport, testthat
Published: 2020-03-02
Author: Georgi N. Boshnakov [aut, cre], Jamie Halliday [aut]
Maintainer: Georgi N. Boshnakov <georgi.boshnakov at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
Materials: README NEWS
CRAN checks: sarima results


Reference manual: sarima.pdf
Vignettes: Garch and white noise tests
Autocorrelations and white noise tests
Package source: sarima_0.8.2.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release: sarima_0.8.2.tgz, r-oldrel: sarima_0.8.2.tgz
Old sources: sarima archive

Reverse dependencies:

Reverse depends: pcts


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