Chapter 8: Time Series and Forecasting
Functions
ARIMA Models
Computes least-squares or method of moments estimates
of parameters
, armaComputes maximum likelihood estimates of
parameters
, max_armaComputes forecasts and
their associated probability limits
, arma_forecastAutomatic ARIMA Selection and Fitting Utilities
Automatic selection and fitting of a univariate
autoregressive time series model.
, auto_uni_arEstimates the optimum seasonality parameters for a
time series using an autoregressive model
, seasonal_fitDetects and determines outliers and simultaneously estimates
the model parameters in a time series
, ts_outlier_identificationAutomatic ARIMA modeling and forecasting in the
presence of possible outliers
, auto_arimaEstimates structural breaks in non-stationary
univariate time series models
, auto_parmBayesian Time Series Estimation
Model Construction and Evaluation Utilities
Performs differencing on a time series
, differenceLack-of-fit test based on the correlation function
, lack_of_fitExponential Smoothing Methods
GARCH Modeling
Computes estimates of the parameters of a GARCH
(p,q) model
, garchState-Space Models
Performs Kalman filtering and evaluates the likelihood
function for the state‑space model
, kalmanVector Auto-Regression and Error Correction
Estimates a vector auto-regressive time series model
with optional moving average components
, vector_autoregression