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

Automatic selection and fitting of a univariate
autoregressive time series model..................................................................... auto_uni_ar

Detects and determines outliers and simultaneously estimates
the model parameters in a time series............................................. ts_outlier_identification

Computes forecasts for an outlier contaminated
time series .......................................................................................... ts_outlier_forecast

Automatic ARIMA modeling and forecasting in the
presence of possible outliers............................................................................ auto_arima

Performs differencing on a time series................................................................. difference

Estimates the optimum seasonality parameters for a
time series using an autoregressive model....................................................... seasonal_fit

            Model Construction and Evaluation Utilities

Performs a Box-Cox transformation....................................................... box_cox_transform

Sample autocorrelation function.................................................................. autocorrelation

Computes the sample cross correlation function......................................... crosscorrelation

Computes the multichannel cross-correlation
function.......................................................................................... multi_crosscorrelation

Sample partial autocorrelation function.............................................. partial_autocorrelation

Lack-of-fit test based on the corrleation function.................................................. lack_of_fit

Estimates missing values in a time series............................................... estimate_missing

            GARCH Modeling

Computes estimates of the parameters of a GARCH
(p,q) model............................................................................................................. garch

 

            Frequency Domain Modeling

Performs Kalman filtering and evaluates the likelihood
function for the state-space model.......................................................................... kalman

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