Package: weakARMA 1.0.3
Julien Yves Rolland
weakARMA: Tools for the Analysis of Weak ARMA Models
Numerous time series admit autoregressive moving average (ARMA) representations, in which the errors are uncorrelated but not necessarily independent. These models are called weak ARMA by opposition to the standard ARMA models, also called strong ARMA models, in which the error terms are supposed to be independent and identically distributed (iid). This package allows the study of nonlinear time series models through weak ARMA representations. It determines identification, estimation and validation for ARMA models and for AR and MA models in particular. Functions can also be used in the strong case. This package also works on white noises by omitting arguments 'p', 'q', 'ar' and 'ma'. See Francq, C. and Zakoïan, J. (1998) <doi:10.1016/S0378-3758(97)00139-0> and Boubacar Maïnassara, Y. and Saussereau, B. (2018) <doi:10.1080/01621459.2017.1380030> for more details.
Authors:
weakARMA_1.0.3.tar.gz
weakARMA_1.0.3.tar.gz(r-4.5-noble)weakARMA_1.0.3.tar.gz(r-4.4-noble)
weakARMA_1.0.3.tgz(r-4.4-emscripten)weakARMA_1.0.3.tgz(r-4.3-emscripten)
weakARMA.pdf |weakARMA.html✨
weakARMA/json (API)
| # Install 'weakARMA' in R: |
| install.packages('weakARMA', repos = 'https://cloud.r-project.org') |
- CAC40 - Paris stock exchange
- CAC40return - Paris stock exchange return
- CAC40return.sq - Paris stock exchange square return
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated 3 years agofrom:174ecc3645. Checks:3 OK. Indexed: yes.
| Target | Result | Latest binary |
|---|---|---|
| Doc / Vignettes | OK | Apr 02 2025 |
| R-4.5-linux | OK | Apr 02 2025 |
| R-4.4-linux | OK | Apr 02 2025 |
Exports:acf.gamma_macf.univARMA.selecestimationgradientmatXimeansqnl.acfomegaportmanteauTestsignifparamsim.ARMAsimGARCHVARestwnPTwnPT_SQwnRT
Dependencies:CompQuadFormlatticelmtestMASSmatrixStatsnlmesandwichstrucchangeurcavarszoo
Citation
To cite package ‘weakARMA’ in publications use:
Boubacar Maïnassara Y, Rolland J (2022). weakARMA: Tools for the Analysis of Weak ARMA Models. R package version 1.0.3, https://CRAN.R-project.org/package=weakARMA.
Corresponding BibTeX entry:
@Manual{,
title = {weakARMA: Tools for the Analysis of Weak ARMA Models},
author = {Yacouba {Boubacar Maïnassara} and Julien Yves Rolland},
year = {2022},
note = {R package version 1.0.3},
url = {https://CRAN.R-project.org/package=weakARMA},
}
Readme and manuals
weakARMA
The goal of weakARMA is to allows the study of nonlinear time series models through weak ARMA representations.
Installation (Gitlab)
Current released
You can install the released version of weakARMA from PLMlab with:
install.packages("remotes")
remotes::install_gitlab("jrolland/weakARMA", host="https://plmlab.math.cnrs.fr")
Development version
You can install the currently developed version of weakARMA from PLMlab with:
install.packages("remotes")
remotes::install_git("https://plmlab.math.cnrs.fr/jrolland/weakARMA.git", ref="develop")
Installation (CRAN)
CRAN package is available. You can install the released version of weakARMA from CRAN with:
install.packages("weakARMA")
Example
This is a basic example which shows you how to solve a common problem:
library(weakARMA)
## basic example code
Help Manual
| Help page | Topics |
|---|---|
| Computation of autocovariance and autocorrelation for an ARMA residuals. | acf.gamma_m |
| Computation of autocovariance and autocorrelation for an ARMA residuals. | acf.univ |
| Selection of ARMA models | ARMA.selec |
| Paris stock exchange | CAC40 |
| Paris stock exchange return | CAC40return |
| Paris stock exchange square return | CAC40return.sq |
| Parameters estimation of a time series. | estimation |
| Computation the gradient of the residuals of an ARMA model | gradient |
| Estimation of Fisher information matrix I | matXi |
| Function optim will minimize | meansq |
| Autocorrelogram | nl.acf |
| Computation of Fisher information matrice | omega |
| Portmanteau tests | portmanteauTest |
| Portmanteau tests for one lag. | portmanteauTest.h |
| Computes the parameters significance | signifparam |
| Simulation of ARMA(p,q) model. | sim.ARMA |
| GARCH process | simGARCH |
| Estimation of VAR(p) model | VARest |
| Weak white noise | wnPT |
| Weak white noise | wnPT_SQ |
| Weak white noise | wnRT |