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                                            Andrey Kolev

AR(IMA) implementation

Hi! Of course R implementation was my first thought too, but you also can look to python implementation: https://github.com/statsmodels/statsmodels/blob/master/statsmodels/tsa/arima_model.py Also I'm sorry I hadn't time to merge my garch code...

AR(IMA) implementation

@milktrader OK I can try it

Single optimization package across time models?

It would be good, I'll look what options Optim package have for constrained optimization.

Single optimization package across time models?

Of course, we should try to use pure julia packages as much as possible, but my main concern is the quality of optimization. Complex time series models simply could not...