Package: sarima 0.9.3

Georgi N. Boshnakov

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).

Authors:Georgi N. Boshnakov [aut, cre], Jamie Halliday [aut]

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sarima.pdf |sarima.html
sarima/json (API)
NEWS

# Install 'sarima' in R:
install.packages('sarima', repos = c('https://geobosh.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://github.com/geobosh/sarima/issues

Uses libs:
  • openblas– Optimized BLAS
  • c++– GNU Standard C++ Library v3

On CRAN:

arimakalman-filterreg-sarimasarimasarimaxseasonaltime-seriesxarima

6.76 score 3 stars 1 packages 109 scripts 1.5k downloads 1 mentions 56 exports 9 dependencies

Last updated 8 months agofrom:59b8aec398. Checks:OK: 9. Indexed: yes.

TargetResultDate
Doc / VignettesOKNov 21 2024
R-4.5-win-x86_64OKNov 21 2024
R-4.5-linux-x86_64OKNov 21 2024
R-4.4-win-x86_64OKNov 21 2024
R-4.4-mac-x86_64OKNov 21 2024
R-4.4-mac-aarch64OKNov 21 2024
R-4.3-win-x86_64OKNov 21 2024
R-4.3-mac-x86_64OKNov 21 2024
R-4.3-mac-aarch64OKNov 21 2024

Exports:acfGarchTestacfIidTestacfMaTestacfOfSquaredArmaModelacfWnTestar2Pacfarma_Q0gnbarmaacfarmaccf_xeArmaModelArModelas.SarimaModelautocorrelationsautocovariancesbackwardPartialCoefficientsbackwardPartialVariancesfilterCoeffilterOrderfilterPolyfilterPolyCoefFisherInformationfun.forecastisStationaryModelMaModelmodelCentermodelCoefmodelInterceptmodelOrdermodelPolymodelPolyCoefnSeasonsnUnitRootsnvarOfAcfKPnvcovOfAcfnvcovOfAcfBDpartialAutocorrelationspartialAutocovariancespartialCoefficientspartialVariancesperiodogramplotplot.SpectrumprepareSimSarimaprint.simSarimaFunprint.Spectrumrgarch1p1sarimasarima.fseshowsigmaSqsim_sarimaspectrumtsdiag.SarimawhiteNoiseTestxarmaFilter

Dependencies:FormulalaggedltsanumDerivPolynomFrbibutilsRcppRcppArmadilloRdpack

Autocorrelations and white noise tests

Rendered fromwhite_noise_tests.Rnwusingutils::Sweaveon Nov 21 2024.

Last update: 2019-05-06
Started: 2018-08-22

Garch and white noise tests

Rendered fromgarch_tests_example.Rnwusingutils::Sweaveon Nov 21 2024.

Last update: 2022-08-11
Started: 2018-08-22

Readme and manuals

Help Manual

Help pageTopics
Package sarima Simulation and Prediction with Seasonal ARIMA Modelssarima-package
Tests for weak white noiseacfGarchTest acfWnTest
Carry out IID tests using sample autocorrelationsacfIidTest acfIidTest,ANY-method acfIidTest,missing-method acfIidTest,SampleAutocorrelations-method acfIidTest-methods
Autocorrelation test for MA(q)acfMaTest
Computing the initial state covariance matrix of ARMAarma_Q0bis arma_Q0Gardner arma_Q0gnbR arma_Q0naive
Compute the initial state covariance of ARMA modelarma_Q0gnb
Crosscovariances between an ARMA process and its innovationsarmaacf armaccf_xe
Create ARMA objectsArmaModel ArModel MaModel
Classes ArmaModel, ArModel and MaModel in package sarimaArmaModel-class ArModel-class MaModel-class
Class '"ArmaSpectrum"'ArmaSpectrum-class plot,ArmaSpectrum,ANY-method plot.ArmaSpectrum print.ArmaSpectrum show,ArmaSpectrum-method
Convert S3 model objects to class SarimaModelas.SarimaModel as.SarimaModel.Arima
Compute autocorrelations and related quantitiesautocorrelations autocovariances backwardPartialCoefficients backwardPartialVariances partialAutocorrelations partialAutocovariances partialCoefficients partialVariances
Methods for function autocorrelations()autocorrelations,ANY,ANY,ANY-method autocorrelations,ANY,ANY,missing-method autocorrelations,Autocorrelations,ANY,missing-method autocorrelations,Autocorrelations,missing,missing-method autocorrelations,Autocovariances,ANY,missing-method autocorrelations,PartialAutocorrelations,ANY,missing-method autocorrelations,PartialAutocovariances,ANY,missing-method autocorrelations,SamplePartialAutocorrelations,ANY,missing-method autocorrelations,SamplePartialAutocovariances,ANY,missing-method autocorrelations,VirtualArmaModel,ANY,missing-method autocorrelations,VirtualSarimaModel,ANY,missing-method autocorrelations-methods
Methods for function autocovariances()autocovariances,ANY,ANY-method autocovariances,Autocovariances,ANY-method autocovariances,Autocovariances,missing-method autocovariances,VirtualArmaModel,ANY-method autocovariances,VirtualAutocovariances,ANY-method autocovariances-methods
setAs methods in package sarimacoerce,ANY,Autocorrelations-method coerce,ANY,ComboAutocorrelations-method coerce,ANY,ComboAutocovariances-method coerce,ANY,PartialAutocorrelations-method coerce,ANY,PartialAutocovariances-method coerce,ANY,PartialVariances-method coerce,ArmaSpec,list-method coerce,Autocorrelations,ComboAutocorrelations-method coerce,Autocorrelations,ComboAutocovariances-method coerce,Autocovariances,ComboAutocorrelations-method coerce,Autocovariances,ComboAutocovariances-method coerce,BJFilter,SPFilter-method coerce,numeric,BJFilter-method coerce,numeric,SPFilter-method coerce,PartialVariances,Autocorrelations-method coerce,PartialVariances,Autocovariances-method coerce,PartialVariances,ComboAutocorrelations-method coerce,PartialVariances,ComboAutocovariances-method coerce,SarimaFilter,ArmaFilter-method coerce,SarimaModel,list-method coerce,SPFilter,BJFilter-method coerce,vector,Autocorrelations-method coerce,vector,Autocovariances-method coerce,vector,PartialAutocorrelations-method coerce,vector,PartialAutocovariances-method coerce,VirtualArmaFilter,list-method coerce,VirtualSarimaModel,ArmaModel-method coerce-methods setAs
Confidence and acceptance intervals in package sarimaconfint confint,SampleAutocorrelations-method
Coefficients and other basic properties of filtersfilterCoef filterOrder filterPoly filterPolyCoef
Methods for filterCoef()filterCoef,BJFilter,character-method filterCoef,SarimaFilter,character-method filterCoef,SarimaFilter,missing-method filterCoef,SPFilter,character-method filterCoef,VirtualArmaFilter,character-method filterCoef,VirtualArmaFilter,missing-method filterCoef,VirtualBJFilter,character-method filterCoef,VirtualMonicFilterSpec,missing-method filterCoef,VirtualSPFilter,character-method filterCoef-methods
Methods for function 'filterOrder' in package 'sarima'filterOrder,SarimaFilter-method filterOrder,VirtualArmaFilter-method filterOrder,VirtualMonicFilterSpec-method filterOrder-methods
Methods for 'filterPoly' in package 'sarima'filterPoly,BJFilter-method filterPoly,SarimaFilter-method filterPoly,SPFilter-method filterPoly,VirtualArmaFilter-method filterPoly,VirtualMonicFilterSpec-method filterPoly-methods
Methods for filterPolyCoeffilterPolyCoef,BJFilter-method filterPolyCoef,SarimaFilter-method filterPolyCoef,SPFilter-method filterPolyCoef,VirtualArmaFilter-method filterPolyCoef,VirtualBJFilter-method filterPolyCoef,VirtualSPFilter-method filterPolyCoef-methods
Fisher informationFisherInformation FisherInformation,ANY-method FisherInformation,ArmaModel-method FisherInformation,SarimaModel-method FisherInformation-methods FisherInformation.Arima
Forecasting functions for seasonal ARIMA modelsfun.forecast
Class InterceptSpecInterceptSpec-class
Check if a model is stationaryisStationaryModel isStationaryModel,SarimaSpec-method isStationaryModel,VirtualIntegratedModel-method isStationaryModel,VirtualStationaryModel-method isStationaryModel-methods
model centermodelCenter modelCenter,InterceptSpec-method modelCenter-methods
Get the coefficients of modelsmodelCoef
Methods for generic function modelCoefmodelCoef,ArmaModel,ArmaFilter,missing-method modelCoef,Autocorrelations,ComboAutocorrelations,missing-method modelCoef,Autocorrelations,PartialAutocorrelations,missing-method modelCoef,Autocovariances,Autocorrelations,missing-method modelCoef,Autocovariances,ComboAutocorrelations,missing-method modelCoef,Autocovariances,ComboAutocovariances,missing-method modelCoef,Autocovariances,PartialAutocorrelations,missing-method modelCoef,ComboAutocorrelations,Autocorrelations,missing-method modelCoef,ComboAutocorrelations,PartialAutocorrelations,missing-method modelCoef,ComboAutocovariances,Autocovariances,missing-method modelCoef,ComboAutocovariances,PartialAutocovariances,missing-method modelCoef,ComboAutocovariances,PartialVariances,missing-method modelCoef,ComboAutocovariances,VirtualAutocovariances,missing-method modelCoef,PartialAutocorrelations,Autocorrelations,missing-method modelCoef,PartialAutocovariances,PartialAutocorrelations,missing-method modelCoef,SarimaModel,ArFilter,missing-method modelCoef,SarimaModel,ArmaFilter,missing-method modelCoef,SarimaModel,ArModel,missing-method modelCoef,SarimaModel,MaFilter,missing-method modelCoef,SarimaModel,MaModel,missing-method modelCoef,SarimaModel,SarimaFilter,missing-method modelCoef,VirtualAutocovariances,Autocovariances,missing-method modelCoef,VirtualAutocovariances,character,missing-method modelCoef,VirtualAutocovariances,missing,missing-method modelCoef,VirtualAutocovariances,VirtualAutocovariances,missing-method modelCoef,VirtualFilterModel,BD,missing-method modelCoef,VirtualFilterModel,BJ,missing-method modelCoef,VirtualFilterModel,character,missing-method modelCoef,VirtualFilterModel,missing,missing-method modelCoef,VirtualFilterModel,SP,missing-method modelCoef-methods
Give the intercept parameter of a modelmodelIntercept modelIntercept,InterceptSpec-method modelIntercept-methods
Get the model order and other properties of modelsmodelOrder modelPoly modelPolyCoef
Get the order of a modelmodelOrder,ArmaModel,ArFilter-method modelOrder,ArmaModel,MaFilter-method modelOrder,SarimaModel,ArFilter-method modelOrder,SarimaModel,ArmaFilter-method modelOrder,SarimaModel,ArmaModel-method modelOrder,SarimaModel,ArModel-method modelOrder,SarimaModel,MaFilter-method modelOrder,SarimaModel,MaModel-method modelOrder,VirtualFilterModel,character-method modelOrder,VirtualFilterModel,missing-method modelOrder-methods
Get polynomials associated with SARIMA modelsmodelPoly,SarimaModel,ArmaFilter-method modelPoly,VirtualFilterModel,character-method modelPoly,VirtualMonicFilter,missing-method modelPoly-methods
Methods for modelPolyCoefmodelPolyCoef,SarimaModel,ArmaFilter-method modelPolyCoef,VirtualFilterModel,character-method modelPolyCoef,VirtualMonicFilter,missing-method modelPolyCoef-methods
Number of seasonsnSeasons nSeasons,SarimaFilter-method nSeasons,VirtualArmaFilter-method nSeasons-methods
Number of unit roots in a modelnUnitRoots nUnitRoots,SarimaSpec-method nUnitRoots,VirtualStationaryModel-method nUnitRoots-methods
Compute variances of autocorrelations under ARCH-type hypothesisnvarOfAcfKP
Covariances of sample autocorrelationsacfOfSquaredArmaModel nvcovOfAcf nvcovOfAcfBD
Methods for function partialAutocorrelationspartialAutocorrelations,ANY,ANY,ANY-method partialAutocorrelations,mts,ANY,missing-method partialAutocorrelations,PartialAutocovariances,ANY,missing-method partialAutocorrelations,ts,ANY,missing-method partialAutocorrelations-methods
Obtain the most important period lags of a time series according to a periodogram.periodogram
Plot methods in package sarimaplot,SampleAutocorrelations,matrix-method plot,SampleAutocorrelations,missing-method plot,SamplePartialAutocorrelations,missing-method plot-methods
Prepare SARIMA simulationsprepareSimSarima print.simSarimaFun
Fit extended SARIMA modelssarima
Class SarimaModel in package sarimaSarimaModel-class
Compute standard errorsse vcov vcov,SampleAutocorrelations-method
Get the innovation variance of modelssigmaSq sigmaSq,InterceptSpec-method sigmaSq-methods
Simulate trajectories of seasonal arima modelssim_sarima
Spectral Densityprint.genspec spec spectrum spectrum,ANY-method spectrum,ArmaModel-method spectrum,SarimaModel-method spectrum.Arima spectrum.ArmaModel spectrum.default spectrum.function spectrum.SarimaModel
Class '"Spectrum"'plot,Spectrum,ANY-method plot.Spectrum print.Spectrum show,Spectrum-method Spectrum-class
Methods for summary in package sarimasummary.SarimaFilter summary.SarimaModel summary.SarimaSpec
Diagnostic Plots for fitted seasonal ARIMA modelstsdiag tsdiag.Sarima
White noise testswhiteNoiseTest
Applies an extended ARMA filter to a time seriesxarmaFilter