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.

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 In ChaosTools, there is some basic nonlinear timeseries analysis techniques as well: Nonlinear Timeseries Analysis · DynamicalSystems.jl Hav…

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!

If you do go that route you may be very interested in the following package: 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.

[image] GitHub - s-broda/ARCHModels.jl: A Julia package for estimating ARMA-GARCH... A Julia package for estimating ARMA-GARCH models. Contribute to s-broda/ARCHModels.jl development by creating an account on GitHub.

Something like https://pkg.julialang.org/docs/ControlSystemIdentification/FH1SZ/0.1.5/ ?

This package is no longer maintained, but updating it to work on Julia 1+ could be a good learning project if you’re looking for one!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

I have a small little package for efficiently simulating univariate, vector-, and matrix-valued ARMA processes here . 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…

We have built GitHub - LAMPSPUC/StateSpaceModels.jl: StateSpaceModels.jl is a Julia package for time-series analysis using state-space models. 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 gener…

Package for time series?

Specific Domains Statistics

rafael.guerra December 14, 2020, 5:59pm 11

See also the TSAnalysis.jl package announced here.

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Package for time series?

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