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:
sarima_0.9.3.tar.gz
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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')) |
Bug tracker:https://github.com/geobosh/sarima/issues
arimakalman-filterreg-sarimasarimasarimaxseasonaltime-seriesxarima
Last updated 8 months agofrom:59b8aec398. Checks:OK: 9. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Oct 22 2024 |
| R-4.5-win-x86_64 | OK | Oct 22 2024 |
| R-4.5-linux-x86_64 | OK | Oct 22 2024 |
| R-4.4-win-x86_64 | OK | Oct 22 2024 |
| R-4.4-mac-x86_64 | OK | Oct 22 2024 |
| R-4.4-mac-aarch64 | OK | Oct 22 2024 |
| R-4.3-win-x86_64 | OK | Oct 22 2024 |
| R-4.3-mac-x86_64 | OK | Oct 22 2024 |
| R-4.3-mac-aarch64 | OK | Oct 22 2024 |
Exports:acfGarchTestacfIidTestacfMaTestacfOfSquaredArmaModelacfWnTestar2Pacfarma_Q0gnbarmaacfarmaccf_xeArmaModelArModelas.SarimaModelautocorrelationsautocovariancesbackwardPartialCoefficientsbackwardPartialVariancesfilterCoeffilterOrderfilterPolyfilterPolyCoefFisherInformationfun.forecastisStationaryModelMaModelmodelCentermodelCoefmodelInterceptmodelOrdermodelPolymodelPolyCoefnSeasonsnUnitRootsnvarOfAcfKPnvcovOfAcfnvcovOfAcfBDpartialAutocorrelationspartialAutocovariancespartialCoefficientspartialVariancesperiodogramplotplot.SpectrumprepareSimSarimaprint.simSarimaFunprint.Spectrumrgarch1p1sarimasarima.fseshowsigmaSqsim_sarimaspectrumtsdiag.SarimawhiteNoiseTestxarmaFilter
Dependencies:FormulalaggedltsanumDerivPolynomFrbibutilsRcppRcppArmadilloRdpack
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Package sarima Simulation and Prediction with Seasonal ARIMA Models | sarima-package |
| Tests for weak white noise | acfGarchTest acfWnTest |
| Carry out IID tests using sample autocorrelations | acfIidTest acfIidTest,ANY-method acfIidTest,missing-method acfIidTest,SampleAutocorrelations-method acfIidTest-methods |
| Autocorrelation test for MA(q) | acfMaTest |
| Computing the initial state covariance matrix of ARMA | arma_Q0bis arma_Q0Gardner arma_Q0gnbR arma_Q0naive |
| Compute the initial state covariance of ARMA model | arma_Q0gnb |
| Crosscovariances between an ARMA process and its innovations | armaacf armaccf_xe |
| Create ARMA objects | ArmaModel ArModel MaModel |
| Classes ArmaModel, ArModel and MaModel in package sarima | ArmaModel-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 SarimaModel | as.SarimaModel as.SarimaModel.Arima |
| Compute autocorrelations and related quantities | autocorrelations 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 sarima | coerce,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 sarima | confint confint,SampleAutocorrelations-method |
| Coefficients and other basic properties of filters | filterCoef 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 filterPolyCoef | filterPolyCoef,BJFilter-method filterPolyCoef,SarimaFilter-method filterPolyCoef,SPFilter-method filterPolyCoef,VirtualArmaFilter-method filterPolyCoef,VirtualBJFilter-method filterPolyCoef,VirtualSPFilter-method filterPolyCoef-methods |
| Fisher information | FisherInformation FisherInformation,ANY-method FisherInformation,ArmaModel-method FisherInformation,SarimaModel-method FisherInformation-methods FisherInformation.Arima |
| Forecasting functions for seasonal ARIMA models | fun.forecast |
| Class InterceptSpec | InterceptSpec-class |
| Check if a model is stationary | isStationaryModel isStationaryModel,SarimaSpec-method isStationaryModel,VirtualIntegratedModel-method isStationaryModel,VirtualStationaryModel-method isStationaryModel-methods |
| model center | modelCenter modelCenter,InterceptSpec-method modelCenter-methods |
| Get the coefficients of models | modelCoef |
| Methods for generic function modelCoef | modelCoef,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 model | modelIntercept modelIntercept,InterceptSpec-method modelIntercept-methods |
| Get the model order and other properties of models | modelOrder modelPoly modelPolyCoef |
| Get the order of a model | modelOrder,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 models | modelPoly,SarimaModel,ArmaFilter-method modelPoly,VirtualFilterModel,character-method modelPoly,VirtualMonicFilter,missing-method modelPoly-methods |
| Methods for modelPolyCoef | modelPolyCoef,SarimaModel,ArmaFilter-method modelPolyCoef,VirtualFilterModel,character-method modelPolyCoef,VirtualMonicFilter,missing-method modelPolyCoef-methods |
| Number of seasons | nSeasons nSeasons,SarimaFilter-method nSeasons,VirtualArmaFilter-method nSeasons-methods |
| Number of unit roots in a model | nUnitRoots nUnitRoots,SarimaSpec-method nUnitRoots,VirtualStationaryModel-method nUnitRoots-methods |
| Compute variances of autocorrelations under ARCH-type hypothesis | nvarOfAcfKP |
| Covariances of sample autocorrelations | acfOfSquaredArmaModel nvcovOfAcf nvcovOfAcfBD |
| Methods for function partialAutocorrelations | partialAutocorrelations,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 sarima | plot,SampleAutocorrelations,matrix-method plot,SampleAutocorrelations,missing-method plot,SamplePartialAutocorrelations,missing-method plot-methods |
| Prepare SARIMA simulations | prepareSimSarima print.simSarimaFun |
| Fit extended SARIMA models | sarima |
| Class SarimaModel in package sarima | SarimaModel-class |
| Compute standard errors | se vcov vcov,SampleAutocorrelations-method |
| Get the innovation variance of models | sigmaSq sigmaSq,InterceptSpec-method sigmaSq-methods |
| Simulate trajectories of seasonal arima models | sim_sarima |
| Spectral Density | print.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 sarima | summary.SarimaFilter summary.SarimaModel summary.SarimaSpec |
| Diagnostic Plots for fitted seasonal ARIMA models | tsdiag tsdiag.Sarima |
| White noise tests | whiteNoiseTest |
| Applies an extended ARMA filter to a time series | xarmaFilter |