milktrader
milktrader
@AndreyKolev I just noticed we already have a branch named `garch`. It's probably best to delete it first. You should do it if you're going to do the merge. You...
What data are you using? And are the differences substantial?
I've included the `test/data/benchmark.csv` file, which includes over 15,850 rows of data. Not sure if this is big enough for benchmarking. I think that taking simple returns of the Close...
We should follow the layout that DataFrames has for this, which is similar to how unit testing is done.
I'm in favor of this but it appears R has opted not to support this (at least I can't find it). There is an `ar` function and an `arima` function...
I can file a separate issue for this, but exactly what fitting method is currently used? Regression (OLS, MLE)? There is some literature that shows the Burg method is superior...
By way of context for this issue, R's forecast package offers ar, ma and arima but not an arma.
I think R not supporting an arma function is more a cultural artifact, so agreed we don't need to follow that example.
After thinking about this for a day, I'm in favor of both an `arma` and `arima` methods, with the latter wrapping the former. The `arima` will be there for those...
I'm personally in favor of making TimeModels more modest with (as mentioned above) support for ARIMA, GARCH, and perhaps some tests that haven't found a home in StatsBase. I have...