weakARMA: Tools for the Analysis of Weak ARMA Models

Numerous time series admit autoregressive moving average (ARMA) representations, in which the errors are uncorrelated but not necessarily independent. These models are called weak ARMA by opposition to the standard ARMA models, also called strong ARMA models, in which the error terms are supposed to be independent and identically distributed (iid). This package allows the study of nonlinear time series models through weak ARMA representations. It determines identification, estimation and validation for ARMA models and for AR and MA models in particular. Functions can also be used in the strong case. This package also works on white noises by omitting arguments 'p', 'q', 'ar' and 'ma'. See Francq, C. and Zakoïan, J. (1998) <doi:10.1016/S0378-3758(97)00139-0> and Boubacar Maïnassara, Y. and Saussereau, B. (2018) <doi:10.1080/01621459.2017.1380030> for more details.

Version: 1.0.3
Depends: R (≥ 3.4.1)
Imports: CompQuadForm (≥ 1.4.3), MASS (≥ 7.3-54), matrixStats (≥ 0.61), vars (≥ 1.5-6)
Suggests: timeSeries, testthat, knitr, rmarkdown, renv
Published: 2022-04-04
DOI: 10.32614/CRAN.package.weakARMA
Author: Yacouba Boubacar Maïnassara ORCID iD [aut], Julien Yves Rolland ORCID iD [aut, cre], Coraline Parguey [ctb], Vincent Mouillot [ctb]
Maintainer: Julien Yves Rolland <julien.rolland at univ-fcomte.fr>
BugReports: https://plmlab.math.cnrs.fr/jrolland/weakARMA/-/issues
License: GPL (≥ 3)
URL: https://plmlab.math.cnrs.fr/jrolland/weakARMA
NeedsCompilation: no
Materials: README
CRAN checks: weakARMA results

Documentation:

Reference manual: weakARMA.pdf

Downloads:

Package source: weakARMA_1.0.3.tar.gz
Windows binaries: r-devel: weakARMA_1.0.3.zip, r-release: weakARMA_1.0.3.zip, r-oldrel: weakARMA_1.0.3.zip
macOS binaries: r-release (arm64): weakARMA_1.0.3.tgz, r-oldrel (arm64): weakARMA_1.0.3.tgz, r-release (x86_64): weakARMA_1.0.3.tgz, r-oldrel (x86_64): weakARMA_1.0.3.tgz
Old sources: weakARMA archive

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