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In my experience economists tend not to write time-series decomposition algorithms of the their own but rather use well established ones. Among them two most well known are ARIMA-X13 and TRAMO-SEATS. Both are implemented by the US Census Bureau and executables are available here. I've tried and implemented a simple package that calls the CB's files in the ...


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This is as designed but an argument could be made for making some tweaks to it. The driving concern was to preserve options (e.g. ResamplingMethod) where it makes sense. If options are contained in one and only one object that option is kept as is. If an option is shared among objects the combined object inherits the first occurrence (MetaInformation for ts1 ...


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I am not so sure that this is an unreasonable forecast given the model structure you have assumed. Mathematica does not make it easy to extract fitted values from the model using the model["SomeProperty'] construct, which is a pity. (Or maybe I missed that bit in the documentation.) When you check the best fit model, it is clear that the seasonal MA ...


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You can try package I have written for estimating garch process parameters -although it's not finished yet but you can estimate around 10 kinds of garch processes.Just type Ugarch in documentation when you install the package.Any feedback is more than welcome. https://www.4shared.com/zip/Rb7AXlxYba/garch.html These are actually ported R functions package ...



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