The tfarima package provides classes and methods to build customized transfer function and ARIMA models with multiple operators and parameter restrictions. It includes functions for model identification, estimation using exact or conditional maximum likelihood, diagnostic checking, automatic outlier detection, calendar effects, forecasting, and seasonal adjustment.
Jose Luis Gallego jose.gallego@unican.es
The current version extends the functionality by incorporating the estimation of unobserved components in ARIMA models through the UCARIMA representation and structural time series models.
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