TSAnalysis: time series analysis and state-space modelling

Package Announcements
, ,
11

Hi all,

I have released a new version (v.0.1.2) and it is now being registered. I do not think that this is such a major release to require a new post. However, there are a few important changes:

  • I have added support for ARMA and ARIMA models;

  • I have added tests for the Kalman filter, smoother, ARMA and ARIMA models - this might be less appreciable from a user perspective, but it makes the package more robust;

  • I solved minor bugs and deprecated a few methods that were not being used by any function;

  • I updated the README.md and included two small examples in the /examples/ folder.

Considering the current status of the project I think that it would be easier to proceed as follows:

  • Build on the current functions for ARIMA / ARMA and add support for VARIMA / VARMA models (this should be in v0.1.3);

  • Add support for textbook univariate state-space models (v0.1.4);

  • Add a range of time series functions (e.g., ACF, CCF, …) and time varying versions of the most used models (v.0.1.5 and v0.1.6);

  • Less certain: extend TVP to all models and release v0.2.0.

Note: in the examples, I substituted SimulatedAnnealing() with NelderMead(). Empirically, NelderMead() seems worse on my data. However, it is less computationally expensive and this might help estimating ARIMAs and more complicated models on standard laptops.

4 Likes