# Package for time series?
**URL:** https://discourse.julialang.org/t/package-for-time-series/29555
**Category:** Statistics
**Tags:** question, time-series
**Created:** [October 6, 2019, 3:48pm UTC](https://discourse.julialang.org/t/package-for-time-series/29555 "2019-10-06T15:48:23Z")
**Posts on this page:** 11
**Page:** 1
### Author:  [@Donkeyfish87](https://discourse.julialang.org/u/Donkeyfish87)
#### Post date: [October 6, 2019, 3:48pm UTC](https://discourse.julialang.org/t/package-for-time-series/29555/1 "2019-10-06T15:48:23Z")
Are there any Julia packages for time series analysis? Like arma, arima, vector autoregressions etc.
I’ve tried looking around a bit, but didn’t find anything. Thanks.
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### Author:  [@Datseris](https://discourse.julialang.org/u/Datseris)
#### Post date: [October 6, 2019, 4:42pm UTC](https://discourse.julialang.org/t/package-for-time-series/29555/2 "2019-10-06T16:42:39Z")
There is some progress in the community, see e.g. : [ARIMA Models with Turing.jl. Using the Probabilistic Programming… | by Saumya Shah | Towards Data Science](https://towardsdatascience.com/arima-models-with-turing-jl-81dcf2a1094c)
In `ChaosTools`, there is some basic nonlinear timeseries analysis techniques as well: [Nonlinear Timeseries Analysis · DynamicalSystems.jl](https://juliadynamics.github.io/DynamicalSystems.jl/dev/chaos/nlts/)
Have a look in the “related software” section of this website as well: [JuliaDynamics](https://juliadynamics.github.io/JuliaDynamics/)
I am interested in time series analysis tools in general, and always want to bring more stuff like that to Julia. If you have any updates on this, please let me know either via here or the `#dynamics-bridge` Slack channel!
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### Author:  [@Donkeyfish87](https://discourse.julialang.org/u/Donkeyfish87)
#### Post date: [October 6, 2019, 5:10pm UTC](https://discourse.julialang.org/t/package-for-time-series/29555/3 "2019-10-06T17:10:50Z")
Thanks for the info. I might translate some models from Python or R then if I get the time. Might be a good opportunity to learn Julia properly!
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### Author:  [@anon92994695](https://discourse.julialang.org/u/anon92994695)
#### Post date: [October 6, 2019, 6:22pm UTC](https://discourse.julialang.org/t/package-for-time-series/29555/4 "2019-10-06T18:22:48Z")
If you do go that route you may be very interested in the following package: [https://github.com/joshday/OnlineStats.jl](https://github.com/joshday/OnlineStats.jl)
In my package I have some really rudimentary time series models… Moving average, control charts, echo state networks… No ARIMA/ARX/Holt Winter/etc because I got lazy.
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### Author:  [@pkofod](https://discourse.julialang.org/u/pkofod)
#### Post date: [October 6, 2019, 8:57pm UTC](https://discourse.julialang.org/t/package-for-time-series/29555/5 "2019-10-06T20:57:07Z")
> **[GitHub - s-broda/ARCHModels.jl: A Julia package for estimating ARMA-GARCH...](https://github.com/s-broda/ARCHModels.jl)**
>
> A Julia package for estimating ARMA-GARCH models. Contribute to s-broda/ARCHModels.jl development by creating an account on GitHub.
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### Author:  [@BLI](https://discourse.julialang.org/u/BLI)
#### Post date: [October 6, 2019, 10:59pm UTC](https://discourse.julialang.org/t/package-for-time-series/29555/6 "2019-10-06T22:59:49Z")
Something like [https://pkg.julialang.org/docs/ControlSystemIdentification/FH1SZ/0.1.5/](https://pkg.julialang.org/docs/ControlSystemIdentification/FH1SZ/0.1.5/) ?
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### Author:  [@ElOceanografo](https://discourse.julialang.org/u/ElOceanografo)
#### Post date: [October 7, 2019, 1:14am UTC](https://discourse.julialang.org/t/package-for-time-series/29555/7 "2019-10-07T01:14:49Z")
This package is no longer maintained, but updating it to work on Julia 1+ could be a good learning project if you’re looking for one!
[https://github.com/JuliaStats/TimeModels.jl](https://github.com/JuliaStats/TimeModels.jl)
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### Author:  [@Donkeyfish87](https://discourse.julialang.org/u/Donkeyfish87)
#### Post date: [October 7, 2019, 2:49pm UTC](https://discourse.julialang.org/t/package-for-time-series/29555/8 "2019-10-07T14:49:02Z")
Some great tips, thanks guys!
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### Author:  [@cgeoga](https://discourse.julialang.org/u/cgeoga)
#### Post date: [October 7, 2019, 3:37pm UTC](https://discourse.julialang.org/t/package-for-time-series/29555/9 "2019-10-07T15:37:16Z")
I have a small little package for efficiently simulating univariate, vector-, and matrix-valued ARMA processes [here](https://bitbucket.org/cgeoga/armaprocesses.jl/src/master/). I have some other convenient things implemented for univariate processes, and I really ask that everything be on the stack for vector- and matrix-valued series. So if you want to work on a giant vector ARMA process, this might not immediately be useful (although I do plan to deal with that at some point soon-ish).
I haven’t implemented estimation yet, but could very quickly make an example file for doing maximum likelihood for a univariate process, for example.
EDIT: just a quick note that I have updated the internals of this package and no longer require the vector-/matrix-/tensor-valued processes to have things living on the stack. There is a serious efficiency cost to not doing that, but the code is still probably as efficient as one might hope for if you want to sample from a 100x100 matrix-valued ARMA process, for example. The univariate sampling is even faster than before, and I doubt it could be made faster.
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### Author:  [@guilhermebodin](https://discourse.julialang.org/u/guilhermebodin)
#### Post date: [December 14, 2020, 5:43pm UTC](https://discourse.julialang.org/t/package-for-time-series/29555/10 "2020-12-14T17:43:05Z")
We have built [GitHub - LAMPSPUC/StateSpaceModels.jl: StateSpaceModels.jl is a Julia package for time-series analysis using state-space models.](https://github.com/LAMPSPUC/StateSpaceModels.jl) it is still under development but we do have some unobserved components models and an ARIMA. We are going to merge a SARIMA soon and maybe exploit more general unobserved components models.
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### Author:  [@rafael.guerra](https://discourse.julialang.org/u/rafael.guerra)
#### Post date: [December 14, 2020, 5:59pm UTC](https://discourse.julialang.org/t/package-for-time-series/29555/11 "2020-12-14T17:59:42Z")
See also the [TSAnalysis.jl](https://github.com/fipelle/TSAnalysis.jl) package announced [here](https://discourse.julialang.org/t/tsanalysis-time-series-analysis-and-state-space-modelling/30672).