msarima: Multi-Seasonal ARIMA Models
Fit, forecast and simulate autoregressive integrated moving
average (ARIMA) models with more than one seasonal component, following
Lisi and Grigoletto (2025) <doi:10.1002/for.3283>. Series observed at high
frequency often display several seasonal cycles at once, such as the daily
and the weekly pattern of hourly data, which a single seasonal ARIMA
operator cannot represent. Estimation is performed by conditional maximum
likelihood through numerical optimisation, with support for fixed
coefficients and a constant term. Multi-seasonal Ljung-Box and Monti
portmanteau tests, following Grigoletto and Lisi (2026)
<doi:10.48550/arXiv.2609.32381>, seasonal correlograms, forecasts with
prediction intervals, and simulation from a model specification or from a
fitted model are also provided.
| Version: |
0.1.0 |
| Depends: |
R (≥ 4.1.0), forecast |
| Imports: |
polynom, stats |
| Suggests: |
ggplot2, knitr, rmarkdown, testthat (≥ 3.0.0) |
| Published: |
2026-11-12 |
| DOI: |
10.32614/CRAN.package.msarima (may not be active yet) |
| Author: |
Daniele Girolimetto
 [aut, cre,
cph],
Francesco Lisi
[aut],
Matteo Grigoletto
[aut] |
| Maintainer: |
Daniele Girolimetto <daniele.girolimetto at unipd.it> |
| BugReports: |
https://github.com/danigiro/msarima/issues |
| License: |
GPL-3 |
| URL: |
https://github.com/danigiro/msarima,
https://danigiro.github.io/msarima/ |
| NeedsCompilation: |
no |
| Citation: |
msarima citation info |
| Materials: |
README, NEWS |
| CRAN checks: |
msarima results |
Documentation:
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