tfarima: Transfer Function and ARIMA Models

Building customized transfer function and ARIMA models with multiple operators and parameter restrictions. Functions for model identification, model estimation (exact or conditional maximum likelihood), model diagnostic checking, automatic outlier detection, calendar effects, forecasting and seasonal adjustment. See Bell and Hillmer (1983) <doi:10.1080/01621459.1983.10478005>, Box, Jenkins, Reinsel and Ljung <ISBN:978-1-118-67502-1>, Box, Pierce and Newbold (1987) <doi:10.1080/01621459.1987.10478430>, Box and Tiao (1975) <doi:10.1080/01621459.1975.10480264>, Chen and Liu (1993) <doi:10.1080/01621459.1993.10594321>.

Package details

AuthorJose L. Gallego [aut, cre]
MaintainerJose L. Gallego <jose.gallego@unican.es>
LicenseGPL-2
Version0.2.1
URL https://github.com/gallegoj/tfarima
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("tfarima")

Try the tfarima package in your browser

Any scripts or data that you put into this service are public.

tfarima documentation built on May 30, 2021, 1:06 a.m.