• SsfPack

  • Referenced in 68 articles [sw09502]
  • used which put standard models such as ARMA and cubic spline models in state space...
  • ITSM2000

  • Referenced in 19 articles [sw16941]
  • core of the book covers stationary processes, ARMA and ARIMA processes, multivariate time series ... calculus – An expanded section on continuous-time ARMA processes...
  • MTS

  • Referenced in 7 articles [sw15485]
  • vector AR models, vector MA models, vector ARMA models, seasonal vector ARMA models, VAR models...
  • dse

  • Referenced in 7 articles [sw24866]
  • time-invariant, time series models. This includes ARMA and state-space representations, and methods ... stability, and forecasts at different horizons. The ARMA model representation is general, so that...
  • glarma

  • Referenced in 5 articles [sw23274]
  • 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...
  • MIXREG

  • Referenced in 5 articles [sw24547]
  • following an AR(1), MA(1), or ARMA(1,1) form are allowable. This model...
  • AS 191

  • Referenced in 3 articles [sw03889]
  • algorithm for approximate likelihood calculation of ARMA and seasonal ARMA models...
  • fArma

  • Referenced in 4 articles [sw09992]
  • package fArma: ARMA Time Series Modelling: Environment for teaching ”Financial Engineering and Computational Finance...
  • artfima

  • Referenced in 4 articles [sw30511]
  • tempered fractional difference to the standard ARMA time series. This paper develops parameter estimation methods...
  • SYMARMA

  • Referenced in 4 articles [sw33904]
  • symmetric distribution. Gaussian models of time series, ARMA, have been widely used in the literature...
  • PROC ARIMA

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

  • Referenced in 2 articles [sw30774]
  • package GEVStableGarch: ARMA-GARCH/APARCH Models with GEV and Stable Distributions. Package for simulation ... estimation of ARMA-GARCH/APARCH models with GEV and stable distributions...
  • AS 194

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

  • Referenced in 1 article [sw40070]
  • package ts.extend: Stationary Gaussian ARMA Processes and Other Time-Series Utilities. Stationary Gaussian ARMA processes ... auto-covariance/auto-correlation for a stationary Gaussian ARMA process, as well as the probability functions...
  • VGAMextra

  • Referenced in 1 article [sw30273]
  • packages in CRAN relying on optim(), including ARMA-GARCH-like models, the Order ... correction models for cointegrated time series, and ARMA-structures with Student-t errors. For independent...
  • STSA

  • Referenced in 1 article [sw20186]
  • visualization. The STSA toolbox provides capabilities for ARMA and ARFIMA, Bayesian, non-linear and spectral...
  • gmwm

  • Referenced in 1 article [sw21249]
  • provides an alternative method to estimate classical ARMA models but also delivers a general framework...
  • gsubex

  • Referenced in 1 article [sw25933]
  • arises from the special case of an ARMA(p, q) time series can be exploited...
  • SPEKTR

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

  • Referenced in 1 article [sw28704]
  • anti-persistent time series, possibly mixed with ARMA, regression, transfer-function components. Exact methods...