$$\phi(B),\prod_{j=1}^{k}\Phi_j!\left(B^{S_j}\right),(1-B)^{d}\prod_{j=1}^{k}\left(1-B^{S_j}\right)^{D_j} y_t | The data | Looking at the cycles | Fitting the model | Checking the residuals | Forecasting | Simulating | References
Package: msarima 0.1.0
Daniele Girolimetto
msarima: Multi-Seasonal ARIMA Models
Fit, forecast and simulate autoregressive integrated moving average (ARIMA) models with more than one seasonal component, following Lisi and Grigoletto (2025) <doi:10.1002/for.3283>. Series observed at high frequency often display several seasonal cycles at once, such as the daily and the weekly pattern of hourly data, which a single seasonal ARIMA operator cannot represent. Estimation is performed by conditional maximum likelihood through numerical optimisation, with support for fixed coefficients and a constant term. Multi-seasonal Ljung-Box and Monti portmanteau tests, following Grigoletto and Lisi (2026) <doi:10.48550/arXiv.2609.32381>, seasonal correlograms, forecasts with prediction intervals, and simulation from a model specification or from a fitted model are also provided.
Authors:
msarima_0.1.0.tar.gz
msarima_0.1.0.zip(r-4.7-any)msarima_0.1.0.zip(r-4.6-any)
msarima_0.1.0.tar.gz(r-4.7-any)msarima_0.1.0.tar.gz(r-4.6-any)
msarima_0.1.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
msarima/json (API)
| # Install 'msarima' in R: |
| install.packages('msarima', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/danigiro/msarima/issues
Pkgdown/docs site:https://danigiro.github.io
Datasets:
- MAD_m40 - Hourly Traffic Volume on the M-40 Ring Road, Madrid
Last updated from:03a34141bc. Checks:6 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel | OK | 133 | ||
| source / vignettes | OK | 186 | ||
| linux-release | OK | 149 | ||
| windows-devel | OK | 222 | ||
| windows-release | OK | 258 | ||
| wasm-release | OK | 105 |
Exports:forecast.msarimaggsacfggspacfmsarimamsarima.simmsportmanteausacfspacf
Dependencies:clicolorspacecpp11farverforecastfracdiffgenericsggplot2gluegtableisobandlabelinglatticelifecyclelmtestmagrittrnlmennetpolynomR6RColorBrewerRcppRcppArmadillorlangS7scalestimeDateurcavctrsviridisLitewithrzoo
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| msarima: Multi-Seasonal ARIMA Models | msarima-package |
| Forecast from a Multi-Seasonal ARIMA Model | forecast.msarima |
| Hourly Traffic Volume on the M-40 Ring Road, Madrid | MAD_m40 |
| Fit a Multi-Seasonal ARIMA Model | msarima |
| Methods for msarima Objects | AIC.msarima BIC.msarima coef.msarima fitted.msarima logLik.msarima msarima-methods print.msarima print.summary_msarima residuals.msarima summary.msarima |
| Simulate from a Multi-Seasonal ARIMA Model (Direct Interface) | msarima.sim |
| Multi-Seasonal Portmanteau Tests | msportmanteau |
| Autocorrelation Plots for Multiple Seasonal Cycles | ggsacf ggspacf sacf spacf |
| Simulate from a Multi-Seasonal ARIMA Model | simulate.msarima |