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: 0.9.2
Depends: R (≥ 2.10), methods, stats4
Imports: 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: 2024-03-01
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://geobosh.github.io/sarima/ (doc) https://github.com/GeoBosh/sarima (devel)
NeedsCompilation: yes
Materials: README NEWS
CRAN checks: sarima results

Documentation:

Reference manual: sarima.pdf
Vignettes: Garch and white noise tests
Autocorrelations and white noise tests

Downloads:

Package source: sarima_0.9.2.tar.gz
Windows binaries: r-devel: sarima_0.9.2.zip, r-release: sarima_0.9.2.zip, r-oldrel: sarima_0.9.2.zip
macOS binaries: r-release (arm64): sarima_0.9.2.tgz, r-oldrel (arm64): sarima_0.9.2.tgz, r-release (x86_64): sarima_0.9.2.tgz
Old sources: sarima archive

Reverse dependencies:

Reverse imports: pcts

Linking:

Please use the canonical form https://CRAN.R-project.org/package=sarima to link to this page.