Package dev.nm.stat.timeseries.linear.univariate.arima

Class Summary Class Description ARIMAForecast Forecasts an ARIMA time series using the innovative algorithm.ARIMAForecast.Forecast The forecast value and variance.ARIMAForecastMultiStep Makes forecasts for a time series assuming an ARIMA model using the innovative algorithm.ARIMAModel An ARIMA(p, d, q) process, X_{t}, is such that \[ (1  B)^d X_t = Y_t \] where B is the backward or lag operator, d the order of difference, Y_{t} an ARMA(p, q) process, for which \[ Y_t = \mu + \Sigma \phi_i Y_{ti} + \Sigma \theta_j \epsilon_{tj} + \epsilon_t, \]ARIMASim This class simulates an ARIMA (AutoRegressive Integrated Moving Average) process.ARIMAXModel The ARIMAX model (ARIMA model with eXogenous inputs) is a generalization of the ARIMA model by incorporating exogenous variables.AutoARIMAFit Selects the order and estimates the coefficients of an ARIMA model automatically by AIC or AICC.