TimeModels.jl
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JuliaStats
Modeling time series in Julia
Under the JuliaStats organization, there is currently no package that does basic ARIMA and GARCH modeling. Since TimeSeries is still worked on, why TimeModels seems to get abandoned?
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This is just some initial work to get TimeModel.jl work on julia 1.0. I have not attempted to verify the existing code other than running tests.
I feel like the [ARCHModels.jl](https://github.com/s-broda/ARCHModels.jl) code is better maintained and easier to follow, so we might want to just re-export the functionality from that package.
Another placeholder for future implementations. Any that overlap with StatsBase should be removed. - [ ] Augmented Dickey-Fuller (unit root) - [ ] Phillips-Perron (unit root) - [ ] KPSS...
While running `Pkg.add("TimeModels")` I got the following error message: > INFO: Building Datetime > ==============================[ ERROR: Datetime ]=============================== > > LoadError: UndefVarError: int64 not defined > while loading /Users/bborn/.julia/v0.5/Datetime/deps/build.jl, in...
Since I'm already starting this on other packages, I may as well bring this one into the fold.
I have a fairly working VAR and VECM implementation in repo tomaskrehlik/VARmodels.jl@4a35853a26edfd08d8147d2a2e542766aef73589 and would be happy to move it over here so that it is easier to find for broader...
Since structural time series models only require fitting process and observation error variance parameters (unlike ARIMA models, for example), the gradient of the log-likelihood function can be computed analytically, providing...
