Function reference • sarima

sarima overview

sarima overview

sarima-package: Package sarima Simulation and Prediction with Seasonal ARIMA Models

sarima(): Fit extended SARIMA models

tsdiag(<Sarima>): Diagnostic Plots for fitted seasonal ARIMA models

sim_sarima(): Simulate trajectories of seasonal arima models

prepareSimSarima() print(<simSarimaFun>): Prepare SARIMA simulations

Functions for properties of models and time series

spectrum() print(<genspec>): Spectral Density

autocovariances() autocorrelations() partialAutocorrelations() partialAutocovariances() partialVariances(): Compute autocorrelations and related quantities

armaccf_xe() armaacf(): Crosscovariances between an ARMA process and its innovations

filterCoef() filterOrder() filterPoly() filterPolyCoef(): Coefficients and other basic properties of filters

modelCoef(): Get the coefficients of models

modelOrder() modelPoly() modelPolyCoef(): Get the model order and other properties of models

isStationaryModel(): Check if a model is stationary

modelCenter(): model center

modelIntercept(): Give the intercept parameter of a model

nSeasons(): Number of seasons

nUnitRoots(): Number of unit roots in a model

sigmaSq(): Get the innovation variance of models

Inference

acfIidTest(): Carry out IID tests using sample autocorrelations

whiteNoiseTest(): White noise tests

acfGarchTest() acfWnTest(): Tests for weak white noise

acfMaTest(): Autocorrelation test for MA(q)

se() vcov(<SampleAutocorrelations>): Compute standard errors

confint(<SampleAutocorrelations>): Confidence and acceptance intervals in package sarima

nvarOfAcfKP(): Compute variances of autocorrelations under ARCH-type hypothesis

nvcovOfAcf() nvcovOfAcfBD() acfOfSquaredArmaModel(): Covariances of sample autocorrelations

FisherInformation(): Fisher information

Methods

autocorrelations-methods autocorrelations,ANY,ANY,ANY-method autocorrelations,ANY,ANY,missing-method autocorrelations,Autocorrelations,ANY,missing-method autocorrelations,Autocorrelations,missing,missing-method autocorrelations,Autocovariances,ANY,missing-method autocorrelations,PartialAutocorrelations,ANY,missing-method autocorrelations,PartialAutocovariances,ANY,missing-method autocorrelations,SamplePartialAutocorrelations,ANY,missing-method autocorrelations,SamplePartialAutocovariances,ANY,missing-method autocorrelations,VirtualArmaModel,ANY,missing-method autocorrelations,VirtualSarimaModel,ANY,missing-method: Methods for function autocorrelations()

autocovariances-methods autocovariances,ANY,ANY-method autocovariances,Autocovariances,ANY-method autocovariances,Autocovariances,missing-method autocovariances,VirtualArmaModel,ANY-method autocovariances,VirtualAutocovariances,ANY-method: Methods for function autocovariances()

coerce-methods setAs coerce,ANY,Autocorrelations-method coerce,ANY,ComboAutocorrelations-method coerce,ANY,ComboAutocovariances-method coerce,ANY,PartialAutocorrelations-method coerce,ANY,PartialAutocovariances-method coerce,ANY,PartialVariances-method coerce,ArmaSpec,list-method coerce,Autocorrelations,ComboAutocorrelations-method coerce,Autocorrelations,ComboAutocovariances-method coerce,Autocovariances,ComboAutocorrelations-method coerce,Autocovariances,ComboAutocovariances-method coerce,BJFilter,SPFilter-method coerce,numeric,BJFilter-method coerce,numeric,SPFilter-method coerce,PartialVariances,Autocorrelations-method coerce,PartialVariances,Autocovariances-method coerce,PartialVariances,ComboAutocorrelations-method coerce,PartialVariances,ComboAutocovariances-method coerce,SarimaFilter,ArmaFilter-method coerce,SarimaModel,list-method coerce,SPFilter,BJFilter-method coerce,vector,Autocorrelations-method coerce,vector,Autocovariances-method coerce,vector,PartialAutocorrelations-method coerce,vector,PartialAutocovariances-method coerce,VirtualArmaFilter,list-method coerce,VirtualSarimaModel,ArmaModel-method: setAs methods in package sarima

filterCoef-methods filterCoef,BJFilter,character-method filterCoef,SPFilter,character-method filterCoef,VirtualArmaFilter,character-method filterCoef,VirtualArmaFilter,missing-method filterCoef,VirtualBJFilter,character-method filterCoef,VirtualSPFilter,character-method filterCoef,SarimaFilter,missing-method filterCoef,SarimaFilter,character-method filterCoef,VirtualMonicFilterSpec,missing-method: Methods for filterCoef()

filterOrder-methods filterOrder,SarimaFilter-method filterOrder,VirtualArmaFilter-method filterOrder,VirtualMonicFilterSpec-method: Methods for function filterOrder in package sarima

filterPoly-methods filterPoly,BJFilter-method filterPoly,SarimaFilter-method filterPoly,SPFilter-method filterPoly,VirtualArmaFilter-method filterPoly,VirtualMonicFilterSpec-method: Methods for filterPoly in package sarima

filterPolyCoef-methods filterPolyCoef,BJFilter-method filterPolyCoef,SarimaFilter-method filterPolyCoef,SPFilter-method filterPolyCoef,VirtualArmaFilter-method filterPolyCoef,VirtualBJFilter-method filterPolyCoef,VirtualSPFilter-method: Methods for filterPolyCoef

modelCoef-methods modelCoef,Autocorrelations,ComboAutocorrelations,missing-method modelCoef,Autocorrelations,PartialAutocorrelations,missing-method modelCoef,Autocovariances,Autocorrelations,missing-method modelCoef,Autocovariances,ComboAutocorrelations,missing-method modelCoef,Autocovariances,ComboAutocovariances,missing-method modelCoef,Autocovariances,PartialAutocorrelations,missing-method modelCoef,ComboAutocorrelations,Autocorrelations,missing-method modelCoef,ComboAutocorrelations,PartialAutocorrelations,missing-method modelCoef,ComboAutocovariances,Autocovariances,missing-method modelCoef,ComboAutocovariances,PartialAutocovariances,missing-method modelCoef,ComboAutocovariances,PartialVariances,missing-method modelCoef,ComboAutocovariances,VirtualAutocovariances,missing-method modelCoef,PartialAutocorrelations,Autocorrelations,missing-method modelCoef,SarimaModel,ArFilter,missing-method modelCoef,SarimaModel,ArmaFilter,missing-method modelCoef,SarimaModel,MaFilter,missing-method modelCoef,SarimaModel,SarimaFilter,missing-method modelCoef,VirtualAutocovariances,character,missing-method modelCoef,VirtualAutocovariances,missing,missing-method modelCoef,VirtualAutocovariances,VirtualAutocovariances,missing-method modelCoef,PartialAutocovariances,PartialAutocorrelations,missing-method modelCoef,SarimaModel,ArModel,missing-method modelCoef,SarimaModel,MaModel,missing-method modelCoef,VirtualFilterModel,BD,missing-method modelCoef,VirtualFilterModel,BJ,missing-method modelCoef,VirtualFilterModel,character,missing-method modelCoef,VirtualFilterModel,missing,missing-method modelCoef,VirtualFilterModel,SP,missing-method modelCoef,ArmaModel,ArmaFilter,missing-method modelCoef,VirtualAutocovariances,Autocovariances,missing-method: Methods for generic function modelCoef

modelOrder-methods modelOrder,ArmaModel,ArFilter-method modelOrder,ArmaModel,MaFilter-method modelOrder,SarimaModel,ArFilter-method modelOrder,SarimaModel,ArmaFilter-method modelOrder,SarimaModel,ArmaModel-method modelOrder,SarimaModel,ArModel-method modelOrder,SarimaModel,MaFilter-method modelOrder,SarimaModel,MaModel-method modelOrder,VirtualFilterModel,missing-method modelOrder,VirtualFilterModel,character-method: Get the order of a model

modelPoly-methods modelPoly,SarimaModel,ArmaFilter-method modelPoly,VirtualMonicFilter,missing-method modelPoly,VirtualFilterModel,character-method: Get polynomials associated with SARIMA models

modelPolyCoef-methods modelPolyCoef,SarimaModel,ArmaFilter-method modelPolyCoef,VirtualMonicFilter,missing-method modelPolyCoef,VirtualFilterModel,character-method: Methods for modelPolyCoef

partialAutocorrelations-methods partialAutocorrelations,ANY,ANY,ANY-method partialAutocorrelations,mts,ANY,missing-method partialAutocorrelations,PartialAutocovariances,ANY,missing-method partialAutocorrelations,ts,ANY,missing-method: Methods for function partialAutocorrelations

plot-methods plot,SampleAutocorrelations,matrix-method plot,SampleAutocorrelations,missing-method plot,SamplePartialAutocorrelations,missing-method: Plot methods in package sarima

summary(<SarimaModel>) summary(<SarimaFilter>) summary(<SarimaSpec>): Methods for summary in package sarima

as.SarimaModel(): Convert S3 model objects to class SarimaModel

Classes

ArmaModel() ArModel() MaModel(): Create ARMA objects

ArmaModel-class ArModel-class MaModel-class: Classes ArmaModel, ArModel and MaModel in package sarima

ArmaSpectrum-class plot,ArmaSpectrum,ANY-method show,ArmaSpectrum-method plot.ArmaSpectrum print.ArmaSpectrum: Class "ArmaSpectrum"

InterceptSpec-class: Class InterceptSpec

SarimaModel-class: Class SarimaModel in package sarima

print(<Spectrum>) plot(<Spectrum>): Class "Spectrum"

Initialisation for Kalman filter

arma_Q0naive() arma_Q0gnbR(): Computing the initial state covariance matrix of ARMA

arma_Q0gnb(): Compute the initial state covariance of ARMA model

Other

fun.forecast(): Forecasting functions for seasonal ARIMA models

xarmaFilter(): Applies an extended ARMA filter to a time series

sarima.f(): Function used internally to compute forecasts

periodogram(): Obtain the most important period lags of a time series according to a periodogram.