msarima-package: msarima: Multi-Seasonal ARIMA Models

In msarima: Multi-Seasonal ARIMA Models

msarima: Multi-Seasonal ARIMA Models

Description

Fit, forecast and simulate autoregressive integrated moving average (ARIMA) models with more than one seasonal component, following Lisi and Grigoletto (2025) \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1002/for.3283")}. Series observed at high frequency often display several seasonal cycles at once, such as the daily and the weekly pattern of hourly data, which a single seasonal ARIMA operator cannot represent. Estimation is performed by conditional maximum likelihood through numerical optimisation, with support for fixed coefficients and a constant term. Multi-seasonal Ljung-Box and Monti portmanteau tests, following Grigoletto and Lisi (2026) \Sexpr[results=rd]{tools:::Rd_expr_doi("10.48550/arXiv.2609.32381")}, seasonal correlograms, forecasts with prediction intervals, and simulation from a model specification or from a fitted model are also provided.

Author(s)

Maintainer: Daniele Girolimetto [e-mail] (ORCID) [copyright holder]

Authors:

• Francesco Lisi [e-mail] (ORCID)

• Matteo Grigoletto [e-mail] (ORCID)

See Also

Useful links:

• https://github.com/danigiro/msarima

• https://danigiro.github.io/msarima/

• Report bugs at https://github.com/danigiro/msarima/issues

msarima documentation built on Nov. 12, 2026, 5:11 p.m.