Package: tfarima 0.3.2

Jose L. Gallego

tfarima: Transfer Function and ARIMA Models

Building customized transfer function and ARIMA models with multiple operators and parameter restrictions. Functions for model identification, model estimation (exact or conditional maximum likelihood), model diagnostic checking, automatic outlier detection, calendar effects, forecasting and seasonal adjustment. See Bell and Hillmer (1983) <doi:10.1080/01621459.1983.10478005>, Box, Jenkins, Reinsel and Ljung <ISBN:978-1-118-67502-1>, Box, Pierce and Newbold (1987) <doi:10.1080/01621459.1987.10478430>, Box and Tiao (1975) <doi:10.1080/01621459.1975.10480264>, Chen and Liu (1993) <doi:10.1080/01621459.1993.10594321>.

Authors:Jose L. Gallego [aut, cre]

tfarima_0.3.2.tar.gz
tfarima_0.3.2.tar.gz(r-4.5-noble)tfarima_0.3.2.tar.gz(r-4.4-noble)
tfarima_0.3.2.tgz(r-4.4-emscripten)tfarima_0.3.2.tgz(r-4.3-emscripten)
tfarima.pdf |tfarima.html✨
tfarima/json (API)

# Install 'tfarima' in R:

install.packages('tfarima', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/gallegoj/tfarima/issues

Uses libs:

openblas– Optimized BLAS
c++– GNU Standard C++ Library v3
openmp– GCC OpenMP (GOMP) support library

Datasets:

Wtelephone - Wisconsin Telephone Company
rsales - Retail Sales of Variety Stores
seriesC - Series C Chemical Process Temperature Readings: Every Minute.
seriesJ - Gas furnace data

2.70 score 8 scripts 251 downloads 53 exports 5 dependencies

Last updated 2 years agofrom:ef641d440c. Checks:OK: 1 NOTE: 1. Indexed: no.

Target	Result	Date
Doc / Vignettes	OK	Sep 20 2024
R-4.5-linux-x86_64	NOTE	Sep 20 2024

Exports:as.lagpol as.um autocorr autocov bsm calendar CalendarVar diagchk display easter fit fit2autocov ide intervention InterventionVar inv lagpol modify nabla noise outlierDates outliers output.tf pccf phi pi.weights predict.tfm predict.um printLagpol printLagpolList psi.weights rform roots S sdummies seasadj setinputs sform signal sim sincos spec std stsm sum_um tf tfest tfm theta tsvalue ucomp um varsel

Dependencies:lattice numDeriv Rcpp RcppArmadillo zoo

Transfer Function and ARIMA Models

Rendered fromtfarima.Rnwusingutils::Sweaveon Sep 20 2024.

Last update: 2022-05-06
Started: 2020-11-09

Citation

Readme and manuals

Help Manual

Help page	Topics
Transfer Function and ARIMA Models.	tfarima-package tfarima
Lag polynomial	as.lagpol
Convert 'arima' into 'um'.	as.um
Theoretical simple/partial autocorrelations of an ARMA model	autocorr autocorr.um
Theoretical autocovariances of an ARMA model	autocov autocov.stsm autocov.um
Basic Structural Time Series models	bsm
Calendar effects	calendar calendar.tfm calendar.um
Calendar variables	CalendarVar
Cross-correlation check	ccf.tfm
Coefficients of a transfer function model	coef.tfm
Coefficients of a univariate model	coef.um
Diagnostic checking	diagchk diagchk.tfm diagchk.um
Graphs for ARMA models	display display.default display.um
Easter effect	easter easter.um
Estimation of a STS model	fit.stsm
Estimation of the ARIMA model	fit fit.tfm fit.um
Estimation of a STS model by the method of moments	fit2autocov fit2autocov.stsm
Identification plots	ide
Intervention analysis/Outlier treatment	intervention intervention.tfm intervention.um
Intervention variables	InterventionVar
Inverse of a lag polynomial	inv inv.lagpol
Lag polynomials	lagpol
Log-likelihood of an ARIMA model	logLik.um
Modifying a TF or an ARIMA model	modify modify.tfm modify.um
Unscramble I polynomial	nabla nabla.um
Noise of a transfer function model	noise noise.tfm
Outlier dates	outlierDates
Outliers detection at known/unknown dates	outliers outliers.tfm outliers.um
Output of a transfer function	output.tf
Prewhitened cross correlation function	pccf
Unscramble AR polynomial	phi phi.um
Pi weights of an AR(I)MA model	pi.weights pi.weights.um
Forecasting with transfer function models	predict.tfm
Forecasts from an ARIMA model	predict.um
Print numeric vector as a lagpol object	printLagpol
Print a list of lagpol objects	printLagpolList
Psi weights of an AR(I)MA model	psi.weights psi.weights.um
Residuals of a transfer function model	residuals.tfm
Residuals of the ARIMA model	residuals.um
Reduce form for STS model	rform rform.stsm
Roots of the lag polynomials of an ARIMA model	roots roots.um
Roots of a lag polynomial	roots.default roots.lagpol
Retail Sales of Variety Stores (U.S. Bureau of the Census)	rsales
Annual sum	S
Seasonal dummies	sdummies
Seasonal adjustment	seasadj seasadj.um
Series C Chemical Process Temperature Readings: Every Minute.	seriesC
Gas furnace data	seriesJ
'setinputs' adds new inputs into a transfer function model.	setinputs setinputs.tfm setinputs.um
Structural form for an ARIMA model	sform sform.um
Signal component of a TF model	signal signal.tfm
Time series simulation form an ARIMA or TF model	sim sim.tfm sim.um
Trigonometric variables	sincos
Spectrum of an ARMA model	spec spec.um
Standardize time series	std
Structural Time Series models	stsm
Sum of univariate (ARIMA) models	sum_um
Summarizing Transfer Function models	summary.tfm
Summary of um model	summary.um
Transfer function for input	tf
Preestimates of a transfer function	tfest
Transfer function models	tfm
Unscramble MA polynomial	theta theta.um
Diagnostic Plots for Time-Series Fits Description	tsdiag.tfm
Diagnostic Plots for Time-Series Fits Description	tsdiag.um
Value of a time series at a date	tsvalue
Unobserved components	ucomp ucomp.tfm ucomp.um
Univariate (ARIMA) model	um
Variable selection	varsel varsel.tfm
Wisconsin Telephone Company	Wtelephone