included instructions how to install package ‘FitARMA’, if it is needed.
fixed NOTEs from CRAN about escaped LaTeX specials.
added the expanded stationary AR polynomial to the output of the
"SarimaModel" method for filterPoly and
filterPolyCoef. The fully axpanded AR polynomial which
includes also the integrated terms is availalbe as before.
in prepareSimSarima (and hence
sim_sarima) fixed a bug causing wrong results for some
combinations of parameters when initial values were supplied. Also
removed some parts in the documentation of these functions which no
longer applied.
new generic function FisherInformation giving the
information matrix for fitted and theoretical models with methods for
ARMA and seasonal ARMA models.
new generic function spectrum with methods
for(seasonal) ARMA models and default
stats::spectrum.
in tsdiag.Sarima(), if argument plot
specifies only one or two plots, then the window is now split into 1 or
2 sub-windows, respectively, even if argument layout is not
used.
new convenience function, se() to compute standard
errors.
confint methods extended and documented.
extensive changes in the documentation, including reorganisation of the pkgdown site.
moved fkf and KFAS to Suggests and removed dplyr from the dependencies.
new tsdiag method for class Sarima (the
result of sarima()). The method can be called also directly
on the output from base R’s arima() with
tsdiag.Sarima() or sarima::tsdiag.Sarima().
The method offers several portmanteau tests (including Ljung-Box,
Li-McLeod and Box-Pierce), plots of autocorrelations and partial
autocorrelations of the residuals, ability to control which graphs to be
produced (including interactively), and their layout. The computed
results are returned (invisibly). The default layout of the graphs is
similar to stats::tsdiag() (but with adjusted d.f.).
The method always makes a correction of the degrees of freedom of the portmanteau tests.
github repository housekeeping - switched from TravisCI to Github actions.
now the pkgdown website is automatically rebuild on push (via a github action).
moved FitAR from Depends to Imports (after some changes in
.onLoad() to make this possible).
import again FKF (support for it was removed when FKF was temporarily archived on CRAN).
removed developers’ comments that had been accidentally left in a vignette.
removed an erroneous rev() from the garch tests
vignette.
added new tests and fixed several bugs in the process.
the show method for class “ArmaModel” now returns NULL. The previous return value was spooking “pkgdown::build_site()” resulting in the error:
Error in UseMethod("replay_html", x) :
no applicable method for 'replay_html' applied to an object of class "c('double', 'numeric')"
new test for GARCH-type noise based on Kokoszka and Politis result.
more complete sets of methods for several functions. In particular, there was infinite recursion in some cases.
bug fixes
improved show() methods for autocovariance
objects
numerous changes in sarima()
cater for changing function names in the forthcoming release
2.0.0 of package PolynomF.
Now require lagged (>= 0.2.1)
(lagged 0.2.0 is not sufficient since
nSeasons() and nSeasons<-() accidentally
were not exported by it).
Vignette garch_tests_example now imports the data
using system.file(), so that the examples can be run easily
by the user.
new function makeArimaGnb() for setting up the state
space form of ARIMA models. It is a modification of
stats::makeARIMA() with Georgi’s method for computation of
the stationary part of the initial state covariance matrix. The methods
implemented in stats::makeARIMA()are commented out since
they are not exported from package stats.
sarima() gets an argument to specify the method to
use for the stationary part of P0 (see above). The available options are
the ones in makeARIMA() (“Rossignol2011” and “Gardner1980”)
plus Georgi’s method (“gnb”). The default is “Rossignol2011”.
NEWS becomes NEWS.md and uses markdown
syntax. The style is loosely based on
http://style.tidyverse.org/news.html).
manually incorporated or noted changes from Jamie’s 0.7.4.9001/2018-08-17. Namely:
hessian()).dealt with ‘valgrind’ warnings (had missed one uninitialised warning).
fixed a bug in prepareSimSarima() - when initial values were not supplied in the stationary case, the initialisation was not correct (thanks to Cameron Doyle for reporting this).
this is an emergency release to avoid the package being archived on CRAN due to the archival of a dependency.
the main new feature since the previous release, 0.5-2, of the
package is the versatile function sarima(), which provides
formula syntax for fitting encompassing SARIMA, ARUMA, XSARIMA,
Reg-SARIMA, ARMAX models. Parsimonious multiplicative specifications are
supported for the stationary and non-stationary parts of the model, as
well as arbitrary unit roots on the unit circle, which can be fixed or
estimated. ‘sarima()’ is documented but is still under
development.
removed ‘portes’ from Imports - it was not used for some time in ‘sarima’ (it was scheduled from removal from CRAN on 2018-07-30).
removed package ‘FKF’ from Imports, since it has been archived on CRAN.
merged branch models with master.
numerous consolidations.
Changes in branch ‘models’
in DESCRIPTION, moved ‘methods’ from DEPENDS to Imports.
various bug fixes and cosolidations.
improvements to the documentation.
returned the stuff the test package ‘testts’ (and removed the
latter). testts was not helpful and complicated the
workflow. Now the tests for armaQ0 etc are in
`sarima.
now can request estimation of components with roots on the unit circle.
in xreg and regx specifications, renamed cs(), B(), p() to .cs(), .B(), .p(), respectively.
further to the above, in xreg and regx specifications `t’ stays as is for now, since it needs more care, but its use is discouraged.
removed sincos() and L() from sarima specifications, use the equivalents .cs() and .B(), respectively.
intermediate versions, not useful for back reference (the zip file given is a better place to look for code before 0.6-6).
now on bitbucket as part of sarima_project. The original upload is in sarima_project/Archive/sarima_project_Orig.zip.
wrapping up 0.6-5 before making the changes needed for estimation of unit roots.
support for tanh transformation.
factorisation of MA
Packing up this version before moving stuff that needs ‘:::’ calls elsewhere (e.g. to myRcpp, but haven’t decided on the structure)
Several bug fixes.
Some trouble with Rcpp, further trouble with Rtools after installing the latest version of R. Packing up this version for a working reference.
included some C++ code (using Rcpp/RcppArmadilo) previously tested in my (private) package myRcpp.
removed the internal arima() functions introduced in 0.5-11.
added ss.method = “sarima” to sarima() which uses the new C++ functions to compute the likelihood. Limited testing confirms that this method gives the same results as arima() for models that can be fitted with arima().
bumping the version number to have a working version in case further improvements mess things up.
moved temporarilly FitAR from Imports to Depends, since FitARMA can’t find some functions from FitAR if FitARMA is not attached. (move back to Imports when Ian imports FitAR in FitARMA’s namespace)
further work on sarima(), saving before more meddling with the environments of the formulas
added support for KFAS.
fixed parameters and initial values are supported for ARMA specifications (but not for regression parameters yet).
sarima() is still incomplete but is usable.
archiving before a full scale consolidation and clean up, in case that messes things up.
sarima() now fits XARIMAX models, in the case of the second X, using FKF::fkf().
archiving before starting work on completing the handling of fixed parameters.
model formulas for SARIMA models using package Formula.
usable version of sarima() function but not for publication yet.
packing this version before further work on sarima().
plot of acf tests now uses different ‘lty’ so that the confidence limits under iid and garch nulls are visually distinguishable in black and white printouts.
plot of acf tests now accepts argument ‘interval’ to produce rejection limits for levels other than the default 95%.
started to add references to the documentation.
for armaacf() and armaccf_xe() the innovation variance in argument ‘model’ is now called ‘sigma2’ (the old ‘sigmasq’ still works but is deprecated).
a number of corrections and additions to the documentation.
additional examples.
SarimaModel now inherits from VirtualSarimaModel (it was inheriting from VirtualFilterModel. On its own, this is invisible to the user. It didn’t invalidate existing objects either.
new class “VirtualIntegratedModel”.
new functions nUnitRoots() and isStationaryModel.
further streamlining.
exported functions related to Bartlett’s formula (they were there in version 0.4-5, under different names).
substantial work on SARIMA models and their documentation.
increasing the version number before some streamlining of class SarimaModel.
moved “Lagged” to a separate package, “lagged”.
streamlined acfIidTest() and documented it properly.
new vignette based on example in Chapter 7 of James Proberts’ MMath project.