sarima overview

sarima overview

sarima-package

Package sarima Simulation and Prediction with Seasonal ARIMA Models

sarima()

Fit extended SARIMA models

sim_sarima()

Simulate trajectories of seasonal arima models

prepareSimSarima() print(<simSarimaFun>)

Prepare SARIMA simulations

Functions for properties of models and time series

autocorrelations-methods

Methods for function autocorrelations()

autocovariances() autocorrelations() partialAutocorrelations() partialAutocovariances() partialVariances()

Compute autocorrelations and related quantities

autocovariances-methods

Methods for function autocovariances()

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()

Test for GARCH white noise

acfMaTest()

Autocorrelation test for MA(q)

nvarOfAcfKP()

Compute variances of autocorrelations under ARCH-type hypothesis

nvcovOfAcf() nvcovOfAcfBD() acfOfSquaredArmaModel()

Covariances of sample autocorrelations

Classes

ArmaModel() ArModel() MaModel()

Create ARMA objects

ArmaModel-class

Classes ArmaModel, ArModel and MaModel in package sarima

InterceptSpec-class

Class InterceptSpec

SarimaModel-class

Class SarimaModel in package sarima

Methods

coerce-methods

setAs methods in package sarima

filterCoef-methods

Methods for filterCoef()

filterOrder-methods

Methods for function filterOrder in package sarima

filterPoly-methods

Methods for filterPoly in package sarima

filterPolyCoef-methods

Methods for filterPolyCoef

modelCoef-methods

Methods for generic function modelCoef

modelOrder-methods

Get the order of a model

modelPoly-methods

Get polynomials associated with SARIMA models

modelPolyCoef-methods

Methods for modelPolyCoef

partialAutocorrelations-methods

Methods for function partialAutocorrelations

plot-methods

Plot methods in package sarima

summary(<SarimaModel>) summary(<SarimaFilter>) summary(<SarimaSpec>)

Methods for summary in package sarima

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.