Autoregressive moving-average model: Difference between revisions

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* In [[R (programming language)|R]], the ''arima'' function (in standard package ''stats'') is documented in [http://search.r-project.org/R/library/stats/html/arima.html ARIMA Modelling of Time Series]. The package [https://cran.r-project.org/web/packages/astsa/index.html astsa] has an improved script called ''sarima'' for fitting ARMA models (seasonal and nonseasonal) as well as ''sarima.sim'' to simulate data from these models. Extension packages contain related and extended functionality, e.g., the ''tseries'' package includes an ''arma'' function, documented in [http://finzi.psych.upenn.edu/R/library/tseries/html/arma.html "Fit ARMA Models to Time Series"]; the [https://cran.r-project.org/web/packages/fracdiff ''fracdiff'' package] contains ''fracdiff()'' for fractionally integrated ARMA processes; and the [https://cran.r-project.org/web/packages/forecast/index.html ''forecast'' package] includes ''auto.arima'' for selecting a parsimonious set of ''p,q''. The CRAN task view on [https://cran.r-project.org/web/views/TimeSeries.html Time Series] contains links to most of these.

* [[Mathematica]] has a complete library of time series functions including ARMA.<ref>[http://www.wolfram.com/products/applications/timeseries/features.html Time series features in Mathematica] {{webarchive |url=https://web.archive.org/web/20111124032002/http://www.wolfram.com/products/applications/timeseries/features.html |date=November 24, 2011 }}</ref>

* [[MATLAB]] includes functions such as [http://www.mathworks.com/help/econ/arma-model.html ''arma''] and, [http://www.mathworks.com/help/ident/ref/ar.html ''ar''] and [http://www.mathworks.com/help/ident/ref/arx.html ''arx''] to estimate AR, ARX (autoregressive exogenous), and ARMAX models. See [http://www.mathworks.com/help/ident/ug/estimating-ar-and-arma-models.html System Identification Toolbox] and [http://www.mathworks.com/help/econ/arima.estimate.html Econometrics Toolbox] for more information.

* [[Julia_(programming_language) | Julia]] has some community driven packages that implement fitting with an ARMA model such as [https://github.com/joefowler/ARMA.jl ''arma.jl''].

* [[Statsmodels]] Python module includes many models and functions for time series analysis, including ARMA. Formerly part of the [[scikit-learn]] library, it is now stand-alone and integrates well with [[Pandas (software)|Pandas]]. [http://statsmodels.sourceforge.net/ See here for more details].