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 = 'https://cloud.r-project.org')

Bug tracker:https://github.com/gallegoj/tfarima/issues1 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

On CRAN:

Conda:

openblascppopenmp

2.70 score 221 downloads 53 exports 5 dependencies

Last updated 3 years agofrom:ef641d440c. Checks:1 OK, 2 NOTE. Indexed: no.

TargetResultLatest binary
Doc / VignettesOKMar 31 2025
R-4.5-linux-x86_64NOTEMar 31 2025
R-4.4-linux-x86_64NOTEMar 31 2025

Exports:as.lagpolas.umautocorrautocovbsmcalendarCalendarVardiagchkdisplayeasterfitfit2autocovideinterventionInterventionVarinvlagpolmodifynablanoiseoutlierDatesoutliersoutput.tfpccfphipi.weightspredict.tfmpredict.umprintLagpolprintLagpolListpsi.weightsrformrootsSsdummiesseasadjsetinputssformsignalsimsincosspecstdstsmsum_umtftfesttfmthetatsvalueucompumvarsel

Dependencies:latticenumDerivRcppRcppArmadillozoo

Transfer Function and ARIMA Models

Rendered fromtfarima.Rnwusingutils::Sweaveon Mar 31 2025.

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

Citation

To cite package ‘tfarima’ in publications use:

Gallego J (2022). tfarima: Transfer Function and ARIMA Models. R package version 0.3.2, https://CRAN.R-project.org/package=tfarima.

Corresponding BibTeX entry: 

  @Manual{,
    title = {tfarima: Transfer Function and ARIMA Models},
    author = {Jose L. Gallego},
    year = {2022},
    note = {R package version 0.3.2},
    url = {https://CRAN.R-project.org/package=tfarima},
  }

Readme and manuals

tfarima

Help Manual

Help pageTopics
Transfer Function and ARIMA Models.tfarima-package tfarima
Lag polynomialas.lagpol
Convert 'arima' into 'um'.as.um
Theoretical simple/partial autocorrelations of an ARMA modelautocorr autocorr.um
Theoretical autocovariances of an ARMA modelautocov autocov.stsm autocov.um
Basic Structural Time Series modelsbsm
Calendar effectscalendar calendar.tfm calendar.um
Calendar variablesCalendarVar
Cross-correlation checkccf.tfm
Coefficients of a transfer function modelcoef.tfm
Coefficients of a univariate modelcoef.um
Diagnostic checkingdiagchk diagchk.tfm diagchk.um
Graphs for ARMA modelsdisplay display.default display.um
Easter effecteaster easter.um
Estimation of a STS modelfit.stsm
Estimation of the ARIMA modelfit fit.tfm fit.um
Estimation of a STS model by the method of momentsfit2autocov fit2autocov.stsm
Identification plotside
Intervention analysis/Outlier treatmentintervention intervention.tfm intervention.um
Intervention variablesInterventionVar
Inverse of a lag polynomialinv inv.lagpol
Lag polynomialslagpol
Log-likelihood of an ARIMA modellogLik.um
Modifying a TF or an ARIMA modelmodify modify.tfm modify.um
Unscramble I polynomialnabla nabla.um
Noise of a transfer function modelnoise noise.tfm
Outlier datesoutlierDates
Outliers detection at known/unknown datesoutliers outliers.tfm outliers.um
Output of a transfer functionoutput.tf
Prewhitened cross correlation functionpccf
Unscramble AR polynomialphi phi.um
Pi weights of an AR(I)MA modelpi.weights pi.weights.um
Forecasting with transfer function modelspredict.tfm
Forecasts from an ARIMA modelpredict.um
Print numeric vector as a lagpol objectprintLagpol
Print a list of lagpol objectsprintLagpolList
Psi weights of an AR(I)MA modelpsi.weights psi.weights.um
Residuals of a transfer function modelresiduals.tfm
Residuals of the ARIMA modelresiduals.um
Reduce form for STS modelrform rform.stsm
Roots of the lag polynomials of an ARIMA modelroots roots.um
Roots of a lag polynomialroots.default roots.lagpol
Retail Sales of Variety Stores (U.S. Bureau of the Census)rsales
Annual sumS
Seasonal dummiessdummies
Seasonal adjustmentseasadj seasadj.um
Series C Chemical Process Temperature Readings: Every Minute.seriesC
Gas furnace dataseriesJ
'setinputs' adds new inputs into a transfer function model.setinputs setinputs.tfm setinputs.um
Structural form for an ARIMA modelsform sform.um
Signal component of a TF modelsignal signal.tfm
Time series simulation form an ARIMA or TF modelsim sim.tfm sim.um
Trigonometric variablessincos
Spectrum of an ARMA modelspec spec.um
Standardize time seriesstd
Structural Time Series modelsstsm
Sum of univariate (ARIMA) modelssum_um
Summarizing Transfer Function modelssummary.tfm
Summary of um modelsummary.um
Transfer function for inputtf
Preestimates of a transfer functiontfest
Transfer function modelstfm
Unscramble MA polynomialtheta theta.um
Diagnostic Plots for Time-Series Fits Descriptiontsdiag.tfm
Diagnostic Plots for Time-Series Fits Descriptiontsdiag.um
Value of a time series at a datetsvalue
Unobserved componentsucomp ucomp.tfm ucomp.um
Univariate (ARIMA) modelum
Variable selectionvarsel varsel.tfm
Wisconsin Telephone CompanyWtelephone