Package: tfarima 0.3.6

tfarima: Transfer Function and ARIMA Models

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) <doi:10.1080/01621459.1983.10478005>, Box, Jenkins, Reinsel and Ljung <ISBN:978-1-118-67502-1>, Box, Pierce and Newbold (1987) <doi:10.1080/01621459.1987.10478430>, Box and Tiao (1975) <doi:10.1080/01621459.1975.10480264>, Chen and Liu (1993) <doi:10.1080/01621459.1993.10594321>.

Authors:Jose L. Gallego [aut, cre]

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tfarima.pdf |tfarima.html✨
tfarima/json (API)

# Install 'tfarima' in R:

install.packages('tfarima', repos = c('https://gallegoj.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/gallegoj/tfarima/issues

Uses libs:

openblas– Optimized BLAS
c++– GNU Standard C++ Library v3
openmp– GCC OpenMP (GOMP) support library

Datasets:

Wtelephone - Wisconsin Telephone Company
rsales - Retail Sales of Variety Stores
seriesC - Series C Chemical Process Temperature Readings: Every Minute.
seriesJ - Gas furnace data

On CRAN:

4.04 score 2 stars 11 scripts 352 downloads 67 exports 6 dependencies

Last updated 8 months agofrom:2fa8ee0b81. Checks:OK: 1 ERROR: 8. Indexed: yes.

Target	Result	Date
Doc / Vignettes	OK	Nov 23 2024
R-4.5-win-x86_64	ERROR	Nov 23 2024
R-4.5-linux-x86_64	ERROR	Nov 23 2024
R-4.4-win-x86_64	ERROR	Nov 23 2024
R-4.4-mac-x86_64	ERROR	Nov 23 2024
R-4.4-mac-aarch64	ERROR	Nov 23 2024
R-4.3-win-x86_64	ERROR	Nov 23 2024
R-4.3-mac-x86_64	ERROR	Nov 23 2024
R-4.3-mac-aarch64	ERROR	Nov 23 2024

Exports:add.um altform as.lagpol as.um autocorr autocov autocov2MA bsm calendar CalendarVar common.factors diagchk display easter equation factors fit ide ikf init intervention InterventionVar inv kf ks lagpol modify msx nabla noise outlierDates outliers output.tf pccf phi pi.weights predict.tfm predict.um printLagpol printLagpolList psi.weights restr.lagpol rform roots roots2lagpol S sdummies seasadj setinputs sform signal sim sincos spec std stsm tf tfest tfm theta tsvalue ucomp um unitcircle varsel wkfilter wold.pol

Dependencies:lattice MASS numDeriv Rcpp RcppArmadillo zoo

Transfer Function and ARIMA Models

Rendered fromtfarima.Rnwusingutils::Sweaveon Nov 23 2024.

Last update: 2024-03-28
Started: 2021-03-23

Citation

Development and contributors

Readme and manuals

Help Manual

Help page	Topics
Transfer Function and ARIMA Models.	tfarima-package tfarima
Addition or substraction of univariate (ARIMA) models	add.um
Alternative form for STS model	altform altform.stsm
Lag polynomial	as.lagpol
Convert 'arima' into 'um'.	as.um
Theoretical simple/partial autocorrelations of an ARMA model	autocorr autocorr.um
Theoretical autocovariances of an ARMA model	autocov autocov.stsm autocov.um
MA process compatible with a vector of autocovariances	autocov2MA
Basic Structural Time Series models	bsm
Calendar effects	calendar calendar.tfm calendar.um
Calendar variables	CalendarVar
Cross-correlation check	ccf.tfm
Coefficients of a transfer function model	coef.tfm
Coefficients of a univariate model	coef.um
Diagnostic checking	diagchk diagchk.tfm diagchk.um
Graphs for ARMA models	display display.default display.um
Easter effect	easter easter.um
Equation of a univariate ARIMA model	equation equation.um
Lag polynomial factorization	factors factors.lagpol
Estimation of a STS model	fit.stsm
Estimation of the ARIMA model	fit fit.tfm fit.um
Identification plots	ide
Initialization Kalman filter	ikf ikf.stsm
Initial conditions for Kalman filter	init init.stsm
Intervention analysis/Outlier treatment	intervention intervention.tfm intervention.um
Intervention variables	InterventionVar
Inverse of a lag polynomial	inv inv.lagpol
Kalman filter for STS models	kf kf.stsm
Kalman smoother for STS models	ks ks.stsm
Lag polynomials	lagpol
Log-likelihood of an STS model	logLik.stsm
Log-likelihood of an ARIMA model	logLik.um
Modifying a TF or an ARIMA model	modify modify.tfm modify.um
Minimum signal extraction	msx msx.um
Unscramble I polynomial	nabla nabla.um
Non stationary AR polynomial of the reduced form	nabla.stsm
Noise of a transfer function model	noise noise.tfm
Outlier dates	outlierDates
Outliers detection at known/unknown dates	outliers outliers.tfm outliers.um
Output of a transfer function	output.tf
Prewhitened cross correlation function	pccf
Unscramble AR polynomial	phi phi.um
Pi weights of an AR(I)MA model	pi.weights pi.weights.um
Forecasting with transfer function models	predict.tfm
Forecasts from an ARIMA model	predict.um
Print univariate models	print.msx print.um
Print numeric vector as a lagpol object	printLagpol
Print a list of lagpol objects	printLagpolList
Psi weights of an AR(I)MA model	psi.weights psi.weights.um
Residuals of a transfer function model	residuals.tfm
Residuals of the ARIMA model	residuals.um
Restricted lag polynomials	restr.lagpol
Reduce form for STS model	rform rform.stsm
Roots of the lag polynomials of an ARIMA model	roots roots.um
Roots of a lag polynomial	roots.default roots.lagpol
Lag polynomial from roots	roots2lagpol
Retail Sales of Variety Stores (U.S. Bureau of the Census)	rsales
Annual sum	S
Seasonal dummies	sdummies
Seasonal adjustment	seasadj seasadj.um
Series C Chemical Process Temperature Readings: Every Minute.	seriesC
Gas furnace data	seriesJ
'setinputs' adds new inputs into a transfer function model.	setinputs setinputs.tfm setinputs.um
Structural form for an ARIMA model	sform sform.um
Signal component of a TF model	signal signal.tfm
Time series simulation form an ARIMA or TF model	sim sim.tfm sim.um
Trigonometric variables	sincos
Spectrum of an ARMA model	spec spec.um
Standardize time series	std
Structural time series models	stsm
Summarizing Transfer Function models	summary.tfm
Summary of um model	summary.um
Transfer function for input	tf
Preestimates of a transfer function	tfest
Transfer function models	tfm
Unscramble MA polynomial	theta theta.um
Diagnostic Plots for Time-Series Fits Description	tsdiag.tfm
Diagnostic Plots for Time-Series Fits Description	tsdiag.um
Value of a time series at a date	tsvalue
Unobserved components	ucomp ucomp.tfm ucomp.um
Univariate (ARIMA) model	um
Unit circle	unitcircle unitcircle.default unitcircle.lagpol
Variable selection	varsel varsel.tfm
Wiener-Kolmogorov filter	wkfilter wkfilter.um
Wold polynomial	wold.pol
Wisconsin Telephone Company	Wtelephone