https://github.com/geobosh/sarima

Time series modelling with extended regression SARIMA models
https://github.com/geobosh/sarima

arima kalman-filter r r-package reg-sarima sarima sarimax seasonal time-series xarima

Last synced: 6 months ago
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Time series modelling with extended regression SARIMA models

• Host: GitHub
• URL: https://github.com/geobosh/sarima
• Owner: GeoBosh
• Created: 2018-08-22T09:27:42.000Z (about 7 years ago)
• Default Branch: master
• Last Pushed: 2024-03-26T19:38:14.000Z (over 1 year ago)
• Last Synced: 2025-03-27T03:41:45.282Z (6 months ago)
• Topics: arima, kalman-filter, r, r-package, reg-sarima, sarima, sarimax, seasonal, time-series, xarima
• Language: R
• Homepage: https://geobosh.github.io/sarima/
• Size: 19.6 MB
• Stars: 3
• Watchers: 1
• Forks: 3
• Open Issues: 2
• Metadata Files:
  • Readme: README.md
  • Changelog: CHANGES

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README

          

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'sarima' is an R package for time series modelling.

# Installing sarima

Install the [latest stable version](https://cran.r-project.org/package=sarima) of

`sarima` from CRAN:

    install.packages("sarima")

You can install the [development version](https://github.com/GeoBosh/sarima) of

`sarima` from Github:

    remotes::install_github("GeoBosh/sarima")

# Overview

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.

Reference manuals and vignettes are available as usual from running R

sessions. For example, this shows the available vignettes:

    vignette(package = "sarima") # which vignettes are available?

These commands open the vignettes (the names are taken from the output of the

command above):

    vignette("white_noise_tests", package = "sarima")

    vignette("garch_tests_example", package = "sarima")

Alternatively, here are some links to online versions of the documentation:

- [sarima online reference manual](https://geobosh.github.io/sarima/)

- [sarima pdf reference manual on CRAN](https://CRAN.R-project.org/package=sarima/sarima.pdf)

- [vignette _Garch and white noise tests_ on CRAN](https://cran.r-project.org/package=sarima/vignettes/garch_tests_example.pdf)

- [vignette _Autocorrelations and white noise tests_ on CRAN](https://cran.r-project.org/package=sarima/vignettes/white_noise_tests.pdf)

The documentation is incomplete and some features are unfinished. Bug reports

and suggestions are welcome.