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Dev#3

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fipelle merged 35 commits intomasterfipelle/MessyTimeSeries.jl:masterfrom devfipelle/MessyTimeSeries.jl:devCopy head branch name to clipboardNov 28, 2019

+891-159

Commits

Commits on Nov 4, 2019

• POC for the ARIMA model

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  a55c718

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• Optim deps for the estimation of uc_models

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  ab0645b

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• fix: small bugs

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  7c3e473

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Commits on Nov 5, 2019

• fix: solved minor bugs in the implementation of the ARIMA model

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Commits on Nov 12, 2019

• improved support to arma and arima

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Commits on Nov 13, 2019

• add: check for parameter redundancy

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  0e5b322

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• add: improvement in eigvals_to_coeff

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  774c838

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• fixed minor bug in eigvals_to_coeff

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• add: further improvements in eigvals_to_coeff

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• add: support to forecast Y_levels

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• TODO in forecast solved

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Commits on Nov 15, 2019

• add: more flexibility for the optimisation

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• add: example ARIMA

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• add: small changes in the example

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• changed order in kalman.jl

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• cosmetic change in arima

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• add: examples

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• add: examples

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Commits on Nov 18, 2019

• add: tests and exports

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  5beafaa

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• fix: initial bugs in test/kalman

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• add: test for apriori and aposteriori estimates

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• add: full set of tests for univariate models

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• change: notation

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• split test into two functions

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• add: Kalman smoother test

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• add: compatibility of kalman_test for multivariate problems

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• add: comments

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Commits on Nov 19, 2019

• multivariate model (done)

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Commits on Nov 24, 2019

• Major changes in /test/ -> now the true values for the filter and smoother estimates are stored in text files

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• split kalman into kalman and tools + added runtests.jl

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  6f0bdd2

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• First draft for arima tests + fix in forecast(...) arima

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• fix in Y_all

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Commits on Nov 28, 2019

• working version of forecast(...) for ARIMA

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• New test folder structure

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• add: final tests for arima and arma

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