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tsarma

The tsarma package implements methods for the maximum likelihood estimation of ARMA(p,q)-X models for stationary time series, backed by autodiff (using TMB package). It includes methods for inference, filtering, prediction, simulation and backtesting.

It makes use of the tsmodels framework, providing common methods with similar inputs and classes with similar outputs.

The package vignette is available in the new tsmodels site here.