Chapter 8 Time Series and Forecasting
Functions
ARIMA Models
Computes least-squares or method of moments estimates
of parameters ,
armaComputes maximum likelihood estimates of
parameters ,
max_armaComputes forecasts and
their associated probability limits ,
arma_forecastAutomatic ARIMA Selection and Fitting Utilities
Automatic selection and fitting of a univariate
autoregressive time series model. ,
auto_uni_arEstimates the optimum seasonality parameters for a
time series using an autoregressive model ,
seasonal_fitDetects and determines outliers and simultaneously estimates
the model parameters in a time series ,
ts_outlier_identificationAutomatic ARIMA modeling and forecasting in the
presence of possible outliers ,
auto_arimaEstimates structural breaks in non-stationary
univariate time series models ,
auto_parmBayesian Time Series Estimation
Model Construction and Evaluation Utilities
Performs differencing on a time series ,
differenceLack-of-fit test based on the correlation function ,
lack_of_fitExponential Smoothing Methods
GARCH Modeling
Computes estimates of the parameters of a GARCH
(p,q) model ,
garchState-Space Models
Performs Kalman filtering and evaluates the likelihood
function for the state‑space model ,
kalmanVector Auto-Regression and Error Correction
Estimates a vector auto-regressive time series model
with optional moving average components ,
vector_autoregression