Simulation and Prediction with Seasonal ARIMA Models
Tests for weak white noise
Carry out IID tests using sample autocorrelations
Autocorrelation test for MA(q)
Convert AR parameters to parcor
Computing the initial state covariance matrix of ARMA
Compute the initial state covariance of ARMA model
Crosscovariances between an ARMA process and its innovations
Classes ArmaModel, ArModel and MaModel in package sarima
Create ARMA objects
Class "ArmaSpectrum"
Convert S3 model objects to class SarimaModel
Methods for function autocorrelations()
Compute autocorrelations and related quantities
Methods for function autocovariances()
setAs methods in package sarima
Confidence and acceptance intervals in package sarima
Methods for filterCoef()
Coefficients and other basic properties of filters
Methods for function filterOrder in package sarima
Methods for filterPoly in package sarima
Methods for filterPolyCoef
Fisher information
Forecasting functions for seasonal ARIMA models
Class InterceptSpec
Check if a model is stationary
model center
Methods for generic function modelCoef
Get the coefficients of models
Give the intercept parameter of a model
Get the order of a model
Get the model order and other properties of models
Get polynomials associated with SARIMA models
Methods for modelPolyCoef
Number of seasons
Number of unit roots in a model
Compute variances of autocorrelations under ARCH-type hypothesis
Covariances of sample autocorrelations
Methods for function partialAutocorrelations
Obtain the most important period lags of a time series according to a ...
Plot methods in package sarima
Prepare SARIMA simulations
Simulate GARCH(1,1) models
Package sarima pd <- packageDescription("sarima") lb <- library(help...
Function used internally to compute forecasts
Fit extended SARIMA models
Class SarimaModel in package sarima
Compute standard errors
Methods for show in package sarima
Get the innovation variance of models
Simulate trajectories of seasonal arima models
Class "Spectrum"
Spectral Density
Methods for summary in package sarima
Diagnostic Plots for fitted seasonal ARIMA models
Undocumented classes in package sarima
White noise tests
Applies an extended ARMA filter to a time series
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 <doi:10.48550/arXiv.2208.05055>, a paper on the methodology is being prepared).