Robust ARIMA Modeling

Functions for fitting a linear regression model with ARIMA errors using a filtered tau-estimate. The methodology is described in Maronna et al (2017, ISBN:9781119214687).

robustarima

An R package for fitting a linear regression model with ARIMA errors using a filtered tau-estimate. This code was originally available in S-PLUS.

Installation

You can install the latest released version from CRAN with:

install.packages("robustarima")

Install the latest development version from GitHub with:

# install.packages("devtools")
devtools::install_github("spkaluzny/robustarima")