Time Series and Forecasting
Functions
ARIMA Models
Computes least-squares or method of moments estimates
of parameters
, arma Computes maximum likelihood estimates of
parameters
, max_arma Computes forecasts and
their associated probability limits
, arma_forecast Fits a univariate seasonal or non-seasonal ARIMA time
series model
, arima Automatic ARIMA Selection and Fitting Utilities
Automatic selection and fitting of a univariate
autoregressive time series model.
, auto_uni_ar Estimates the optimum seasonality parameters for a
time series using an autoregressive model
, seasonal_fit Detects and determines outliers and simultaneously estimates
the model parameters in a time series
, ts_outlier_identification Automatic ARIMA modeling and forecasting in the
presence of possible outliers
, auto_arima Estimates structural breaks in non-stationary
univariate time series models
, auto_parm Bayesian Time Series Estimation
Model Construction and Evaluation Utilities
Performs differencing on a time series
, difference Lack-of-fit test based on the correlation function
, lack_of_fit Exponential Smoothing Methods
GARCH Modeling
Computes estimates of the parameters of a GARCH
(p,q) model
, garch State-Space Models
Performs Kalman filtering and evaluates the likelihood
function for the state‑space model
, kalman Vector Auto-Regression and Error Correction
Estimates a vector auto-regressive time series model
with optional moving average components
, vector_autoregression