IMSL C Stat Library
Chapter 8: 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
Fit a univariate, non-seasonal ARIMA time
series model , regression_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
Computes forecasts for an outlier contaminated
time series , ts_outlier_forecast
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
Decomposes a time series into trend, seasonal, and an
error component , bayesian_seasonal_adj
Model Construction and Evaluation Utilities
Performs a Box-Cox transformation , box_cox_transform
Performs differencing on a time series , difference
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 correlation function , lack_of_fit
Estimates missing values in a time series , estimate_missing
Exponential Smoothing Methods
Holt-Winters additive or multiplicative method , hw_time_series
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