arima2

Likelihood Based Inference for ARIMA Modeling

Jesse Wheeler, Dhajanae Sylvertooth, Noel McAllister

Last update: 16 November 2023

Copyright license: GNU General Public License

Software version identifier: 3.0.1, 3.1.0

Estimating and analyzing auto regressive integrated moving average (ARIMA) models. The primary function in this package is arima(), which fits an ARIMA model to univariate time series data using a random restart algorithm. This approach frequently leads to models that have model likelihood greater than or equal to that of the likelihood obtained by fitting the same model using the arima() function from the 'stats' package. This package enables proper optimization of model likelihoods, which is a necessary condition for performing likelihood ratio tests. This package relies heavily on the source code of the arima() function of the 'stats' package. For more information, please see Jesse Wheeler and Edward L. Ionides (2023) <arXiv:2310.01198>.

Cites work

Likelihood Based Inference for ARMA Models

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