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) .


Reference manual

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0.2.1 by Jose L. Gallego, 5 months ago

Browse source code at

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