Estimating and analyzing auto regressive integrated moving average (ARIMA) models. The primary function in this package is arima(), which fits an ARIMA model to univariate time series data using a random restart algorithm. This approach frequently leads to models that have model likelihood greater than or equal to that of the likelihood obtained by fitting the same model using the arima() function from the 'stats' package. This package enables proper optimization of model likelihoods, which is a necessary condition for performing likelihood ratio tests. This package relies heavily on the source code of the arima() function of the 'stats' package. For more information, please see Jesse Wheeler and Edward L. Ionides (2023) <doi:10.48550/arXiv.2310.01198>.
Package details |
|
---|---|
Author | Jesse Wheeler [aut, cre, cph], Noel McAllister [aut], Dhajanae Sylvertooth [aut], Edward Ionides [ctb], Brian Ripley [ctb] (Author of arima source code in stats package.), R Core Team [cph] (Author of arima source code in stats package.) |
Maintainer | Jesse Wheeler <jeswheel@umich.edu> |
License | GPL (>= 3) |
Version | 3.3.0 |
Package repository | View on CRAN |
Installation |
Install the latest version of this package by entering the following in R:
|
Any scripts or data that you put into this service are public.
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.