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


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install.packages("tfarima")

0.2.1 by Jose L. Gallego, 5 months ago


https://github.com/gallegoj/tfarima


Browse source code at https://github.com/cran/tfarima


Authors: Jose L. Gallego [aut, cre]


Documentation:   PDF Manual  


Task views: Time Series Analysis


GPL-2 license


Imports Rcpp, stats, numDeriv, zoo

Suggests knitr, rmarkdown

Linking to Rcpp, RcppArmadillo


See at CRAN