Time Series Forecasting in Julia We’re excited to share Durbyn.jl , a new Julia package that reimplements much of the functionality of R’s forecast package. It provides a broad set of tools for time series forecasting, including exponential smoothing, ARIMA/auto-ARIMA, ARAR/ARARMA, and methods for in…

This is really exciting - I’ve been planning for a while to make a Julia wrapper for R::forecast based on RCall but I guess now I don’t have to! Should I expect to replicate outputs of the R package 1-for-1 with this, or does the package simply have the same methods but with potentially different i…

@nilshg Thanks for the interest! Durbyn.jl currently implements ETS family (Holt, Holt–Winters, SES, Croston, etc.), ARIMA (both the base R version and the forecast::Arima implementation, exposed as arima_rjh), and auto_arima, which follows the same algorithm as forecast::auto.arima. So there’s no …

[image] Resul.Akay: :high_voltage: An optimization package: supporting Nelder–Mead (NM) and BFGS methods. Out of curiosity, what lead you to implement this yourself given the large suite of existing optimisation packages?

@tecosaur That’s a great question! Julia already has excellent optimization packages like Optim.jl, but I chose to implement Nelder–Mead (NM) and BFGS directly for two main reasons: Lightweight design — I wanted to avoid the large dependency chain that comes with many full-featured optimizers. Pe…

[image] Time-series in Julia (working list) Statistics Here is a summary of time series in Julia. (Ported from this thread .) This is a Julia version of CRAN Task View: Time Series Analysis . TL;DR ARCHModels is the most developed volatility model pkg in J…

@juliohm Thank you for sharing the list of Julia time series packages! StateSpaceModels.jl is indeed a solid and feature-rich package. In my own benchmarks, though, I observed that Durbyn.jl tends to be faster on the same datasets — I’d encourage you to try a comparison yourself. One clarification:…

If you find Durbyn.jl useful or interesting, consider giving it a :star: on GitHub — it really helps support the project and lets others discover it more easily!

This is quite exciting @Resul.Akay ! As a somewhat unrelated question but in the spirit of bringing R tools/functionality into Julia, are you able to comment on GitHub - xKDR/Survey.jl: Analysis of complex surveys and how this could relate to the Time Series Analysis and Forecasting Society’s goals? …

Congrats on the package release. Looking forward to taking it for a spin. Does it support ingestion of DataFrames.jl format? Or does the data need to be read as something else like a time array?

@TheCedarPrince Thanks so much for the kind words and for starring the repo :star:! Just to clarify — Durbyn.jl isn’t a simple translation of R’s forecast, but a Julia-native implementation. Right now my focus is on time series analysis and forecasting, but feel free to DM me if you’d like to chat a…

[ANN] Durbyn.jl — Time Series Forecasting in Julia

Package Announcements

juliohm September 22, 2025, 10:54am 6

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[ANN] Durbyn.jl — Time Series Forecasting in Julia

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