BayesARIMAX

Bayesian Estimation of ARIMAX Model

CRAN Package

The Autoregressive Integrated Moving Average (ARIMA) model is very popular univariate time series model. Its application has been widened by the incorporation of exogenous variable(s) (X) in the model and modified as ARIMAX by Bierens (1987) doi:10.1016/0304-4076(87)90086-8. In this package we estimate the ARIMAX model using Bayesian framework.

  • Version0.1.1
  • R version≥ 3.3.0
  • LicenseGPL-3
  • Needs compilation?No
  • Last release05/20/2020

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Dependencies

  • Depends2 packages