ARIMA modelling

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ARIMA modelling

colintbowers
Hi all,

I was just wondering what the current state of ARIMA modelling is in Julia? From a bit of googling, it appears there was a push in this direction about a year ago with the TimeModels package, but then it never really happened. Is this correct?

If it hasn't progressed, could the interested parties please let me know, as I might be able to do something in this direction over the coming month, and would appreciate any pointers.

Incidentally, this all came up as I've almost finished a module for the dependent bootstrap (which I'll push to github in due course) and was looking to test it on some simulated arima data. However, I suspect I'll also have a need for estimation and forecast with ARIMA models in the coming months...

Cheers,

Colin



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Re: ARIMA modelling

colintbowers
Well, there didn't seem to be much interest on this topic. Nonetheless, I've implemented a package for ARIMA modelling, but ultimately chose the easy option of just wrapping R functionality via the RCall package. For those interested, a link to the relevant announcement on julia-users is [here](https://groups.google.com/forum/#!topic/julia-users/OsPGT9WeLGA)

On Tuesday, 31 March 2015 18:35:38 UTC+11, [hidden email] wrote:
Hi all,

I was just wondering what the current state of ARIMA modelling is in Julia? From a bit of googling, it appears there was a push in this direction about a year ago with the TimeModels package, but then it never really happened. Is this correct?

If it hasn't progressed, could the interested parties please let me know, as I might be able to do something in this direction over the coming month, and would appreciate any pointers.

Incidentally, this all came up as I've almost finished a module for the dependent bootstrap (which I'll push to github in due course) and was looking to test it on some simulated arima data. However, I suspect I'll also have a need for estimation and forecast with ARIMA models in the coming months...

Cheers,

Colin



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Re: ARIMA modelling

milktrader
In reply to this post by colintbowers
Yeah, development at TImeModels has stalled. There is quite a bit that needs to be cleaned up in that package and you're welcome to jump in and start filing issues and submitting PRs.

Dan

On Tuesday, March 31, 2015 at 3:35:38 AM UTC-4, [hidden email] wrote:
Hi all,

I was just wondering what the current state of ARIMA modelling is in Julia? From a bit of googling, it appears there was a push in this direction about a year ago with the TimeModels package, but then it never really happened. Is this correct?

If it hasn't progressed, could the interested parties please let me know, as I might be able to do something in this direction over the coming month, and would appreciate any pointers.

Incidentally, this all came up as I've almost finished a module for the dependent bootstrap (which I'll push to github in due course) and was looking to test it on some simulated arima data. However, I suspect I'll also have a need for estimation and forecast with ARIMA models in the coming months...

Cheers,

Colin



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