Statistical Time Series — fintech-algorithms

Diagnostics

ACF contract acf(values, maxLag)
PACF contract pacf(values, maxLag)
Augmented Dickey-Fuller contract adf(values, lags, criticalValue)
KPSS contract kpss(values, lags, criticalValue)
Ljung-Box contract ljungBox(values, lags, modelDf, alpha)
Zivot-Andrews Break Test contract zivotAndrews(values, lags, trim, criticalValue)

AutoReg contract forecastAutoReg(values, ar, intercept, horizon)
ARMA contract forecastARMA(values, ar, ma, intercept, horizon)
ARIMA contract forecastARIMA(values, ar, ma, intercept, differenceOrder, horizon)
SARIMA/SARIMAX contract forecastSARIMAX(values, exog, futureExog, beta, ar, ma, seasonalAr, seasonalMa, intercept, differenceOrder, seasonalDifferenceOrder, period, horizon)
Holt-Winters contract forecastHoltWintersAdditive(values, alpha, beta, gamma, period, horizon, initialLevel, initialTrend, initialSeasonals)
Theta Forecast contract forecastTheta(values, alpha, horizon)

VAR contract fitVAR(values, lags, includeIntercept)
Structural VAR contract fitRecursiveSVAR(values, lags)
VECM contract fitVECMFixedBeta(values, beta, differenceLags, includeIntercept)
Impulse-Response Analysis contract impulseResponses(coefficients, horizon)
Forecast-Error Variance Decomposition contract forecastErrorVarianceDecomposition(coefficients, sigmaU, horizon)