• SsfPack

  • Referenced in 64 articles [sw09502]
  • used which put standard models such as ARMA and cubic spline models in state space...
  • MTS

  • Referenced in 3 articles [sw15485]
  • models, vector MA models, vector ARMA models, seasonal vector ARMA models, VAR models with exogenous...
  • dse

  • Referenced in 4 articles [sw24866]
  • linear, time-invariant, time series models. This includes ARMA and state-space representations, and methods ... package has functions for looking at model roots, stability ... forecasts at different horizons. The ARMA model representation is general, so that VAR, VARX, ARIMA...
  • PROC ARIMA

  • Referenced in 2 articles [sw12094]
  • average (ARIMA) or autoregressive moving-average (ARMA) model. An ARIMA model predicts a value ... interrupted time series models; multiple regression analysis with ARMA errors; and rational transfer function models...
  • AS 191

  • Referenced in 2 articles [sw03889]
  • likelihood calculation of ARMA and seasonal ARMA models...
  • AS 194

  • Referenced in 3 articles [sw03825]
  • testing goodness of fit of ARMA (P, Q) models...
  • fArma

  • Referenced in 3 articles [sw09992]
  • package fArma: ARMA Time Series Modelling: Environment for teaching ”Financial Engineering and Computational Finance...
  • gmwm

  • Referenced in 1 article [sw21249]
  • used as a moment condition for model estimation through the generalized method of wavelet moments ... alternative method to estimate classical ARMA models but also delivers a general framework...
  • MIXREG

  • Referenced in 5 articles [sw24547]
  • distributed response data including autocorrelated errors. This model can be used for analysis of unbalanced ... ARMA(1,1) form are allowable. This model can also be used for analysis...
  • VGAMextra

  • Referenced in 1 article [sw30273]
  • functions (ffs) to estimate several time series models by maximum likelihood using Fisher scoring, unlike ... CRAN relying on optim(), including ARMA-GARCH-like models, the Order-(p, d, q) ARIMAX ... model, error correction models for cointegrated time series, and ARMA-structures with Student-t errors ... function (as an alternative to ordinary quantile modelling) of several 1-parameter distributions, that...
  • SPEKTR

  • Referenced in 1 article [sw26577]
  • time series spectrum along the ARMA mathematical model. Some subroutines for the statistical estimation...
  • ITSM2000

  • Referenced in 2 articles [sw16941]
  • logic and tools of time series model-building are developed in detail. Numerous exercises ... stationary processes, ARMA and ARIMA processes, multivariate time series and state-space models, with ... calculus – An expanded section on continuous-time ARMA processes...
  • glarma

  • Referenced in 3 articles [sw23274]
  • driven non-linear non-Gaussian state space models. The state vector consists of a linear ... component consisting of an autoregressive-moving average (ARMA) filter of past predictive residuals. Currently three ... likelihood (conditional on initializing values for the ARMA process) optimized using Fisher scoring or Newton ... testing for serial dependence in generalized linear model settings. Graphical diagnostics including model fits, autocorrelation...
  • MATNEM

  • Referenced in 0 articles [sw05713]
  • management algorithms, nonlinear estimation routines (ARMA, multiplicative error models (GARCH, ACD)), and frequentist model averaging...
  • STSA

  • Referenced in 1 article [sw20186]
  • capabilities for ARMA and ARFIMA, Bayesian, non-linear and spectral analysis related models. Extensive time...
  • arfima

  • Referenced in 1 article [sw28704]
  • ARIMA (and Other Long Memory) Time Series Modeling. Simulates, fits, and predicts long-memory ... anti-persistent time series, possibly mixed with ARMA, regression, transfer-function components. Exact methods...
  • EViews

  • Referenced in 30 articles [sw00254]
  • Eviews supports general statistical analysis and econometric analyses...
  • gretl

  • Referenced in 16 articles [sw00386]
  • gretl: Gnu Regression, Econometrics and Time-series Library...
  • ITSM

  • Referenced in 16 articles [sw00461]
  • ITSM (Interactive Time Series Modelling) 6.0 is an...
  • LAPACK

  • Referenced in 1504 articles [sw00503]
  • LAPACK is written in Fortran 90 and provides...