Learn R Programming

⚠️There's a newer version (0.3.2) of this package.Take me there.

tfarima (version 0.1.1)

Transfer Function and ARIMA Models

Description

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) , Box, Jenkins, Reinsel and Ljung , Box, Pierce and Newbold (1987) , Box and Tiao (1975) , Chen and Liu (1993) , Thompson and Tiao (1970) .

Copy Link

Version

Install

install.packages('tfarima')

Monthly Downloads

263

Version

0.1.1

License

GPL-2

Maintainer

Jose L. Gallego

Last Published

November 14th, 2020

Functions in tfarima (0.1.1)

Log-likelihood of an ARIMA model

Calendar variables

InterventionVar

Intervention variables

Cross-correlation check

Gas furnace data

Lag polynomials

Forecasting with transfer function models

Forecasts from an ARIMA model

setinputs adds new inputs into a transfer function model.

Graphs for ARMA models

Diagnostic checking

Roots of the lag polynomials of an ARIMA model

Pi weights of an AR(I)MA model

Unscramble AR polynomial

Residuals of the ARIMA model

tfarima-package

Transfer Function and ARIMA Models.

Preestimates of a transfer function

Modifying a TF or an ARIMA model

Seasonal adjustment

Summary of um model

Series C Chemical Process Temperature Readings: Every Minute.

Estimation of the ARIMA model

Theoretical autocovariances of an ARMA model

Calendar effects

Roots of a lag polynomial

printLagpolList

Print a list of lagpol objects

Print numeric vector as a lagpol object

Wisconsin Telephone Company

Transfer function for input

Univariate (ARIMA) model

Unobserved components

Signal component of a TF model

Retail Sales of Variety Stores (U.S. Bureau of the Census)

Unscramble I polynomial

Diagnostic Plots for Time-Series Fits Description

Diagnostic Plots for Time-Series Fits Description

Identification plots

Output of a transfer function

Noise of a transfer function model

Outliers detection at known/unknown dates

Psi weights of an AR(I)MA model

Time series simulation form an ARIMA or TF model

Prewhitened cross correlation function

Sum of univariate (ARIMA) models

Variable selection

Summarizing Transfer Function models

Spectrum of an ARMA model

Residuals of a transfer function model

Transfer function models

Standardize time series

Unscramble MA polynomial

Convert arima into um.

Inverse of a lag polynomial

Theoretical simple/partial autocorrelations of an ARMA model