Expanded Time Series Processes

Version 10 now includes fully automated fitting and diagnostics across the full suite of time series processes, making time series modeling an everyday exploratory tool. Time series modeling has also been deepened to include ARCH and GARCH processes, as well as vector-valued versions of standard time series models. The full time series model framework has been greatly enhanced, including simulation, estimation, and property computations.

  • Fully automated time series model fitting. »
  • Automatic model selection, based on criteria such as AIC, BIC, AICc, and SBC.
  • Full suite of fitting diagnostics, including assessing of whiteness of residuals.
  • Ability to specify several different model families for fitting, including SARIMA and GARCH.
  • New time series processes, including ARCH (autoregressive conditionally heteroscedastic) and GARCH (generalized ARCH).
  • Full support for vector AR, MA, ARMA, ARIMA, SARMA, and SARIMA processes.
  • New estimation methods for time series processes, including spectral estimation.
  • Improved estimation methods for time series processes, including conditional maximum likelihood and maximum likelihood.
  • Support for time series models with nonzero mean function.
  • Support for time series with initial values, including nonstationary.