Sarimax.jl Documentation

Introduction

Sarimax.jl is a groundbreaking Julia package that revolutionizes SARIMA (Seasonal Autoregressive Integrated Moving Average) modeling by seamlessly integrating with the JuMP framework — a powerful optimization modeling language. Unlike traditional SARIMA implementations, Sarimax.jl leverages JuMP's optimization capabilities to provide precise and highly customizable SARIMA models.

Key Features

• Fit models using various objective functions:
  • Mean Squared Errors
  • Maximum Likelihood estimation
  • Bilevel objective function
• Auto SARIMA model selection
• Support for exogenous variables (Sarimax)
• Scenario simulation capabilities
• Time series integration and differentiation
• Model evaluation criteria (AIC, AICc, BIC)

Installation

Sarimax.jl can be installed using Julia's built-in package manager. From the Julia REPL, type ] to enter the Pkg REPL mode and run:

pkg> add Sarimax

Or, you can install it by using Pkg directly:

using Pkg
Pkg.add("Sarimax")

To use the development version, you can install directly from the GitHub repository:

Pkg.add(url = "https://github.com/LAMPSPUC/Sarimax.jl.git")

Quick Start

To start using Sarimax.jl, simply import the package:

using Sarimax

Check out our Tutorial section for detailed examples of how to use the package.

License

Sarimax.jl is licensed under the MIT License. This means you are free to use, modify, and distribute the code, subject to the terms and conditions of the MIT license.

Contributing

Contributions are welcome! If you find a bug or have a feature request, please open an issue on the GitHub repository. Pull requests for bug fixes and new features are also appreciated.

For more detailed information about the package functionality, please refer to the following sections:

• Tutorial {#tutorial}