4 releases

✓ Uses Rust 2018 edition

new 0.2.0 Nov 5, 2019
0.1.2 Oct 19, 2019
0.1.1 Oct 19, 2019
0.1.0 Oct 19, 2019

24 downloads per month

Custom license

30KB
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Crate Docs License Build Status

ARIMA

Rust crate for ARIMA model coefficient estimation and simulation.

Please note that this crate relies on LAPACK which needs a working BLAS implementation. Per default, this crate looks for a system-installed OpenBLAS. On Debian and Ubuntu, you can install this via apt install libopenblas-base libopenblas-dev.

Example

extern crate rand;
use rand::prelude::*;
use rand::distributions::{Normal, Distribution};

use arima::{acf, sim};

fn main() {
    // initialize RNG with seed
    let mut rng: StdRng = SeedableRng::from_seed([100; 32]);

    // our noise should be normally distributed
    let normal = Normal::new(10.0, 2.0);

    // simulate time series
    let ts = sim::arima_sim(
        1000,                   // number of samples
        Some(&[0.7, 0.2]),      // AR parameters
        None,                   // MA parameters
        0,                      // difference parameter
        &|mut rng| { normal.sample(&mut rng) }, // noise fn
        &mut rng                // RNG
    ).unwrap();

    // estimate AR parameters
    let ar = acf::ar(&ts, Some(2)).unwrap();

    println!("Estimated parameters: {:?}", ar);
    // Estimated parameters: [0.7436892808499717, 0.14774749031248915]
}

Features

  • Auto-correlation/covariance calculation
  • Partial auto-correlation calculation
  • AR parameter estimation
  • Variance estimation
  • ARIMA time series simulation

Roadmap

  • Full ARIMA model parameter estimation
  • Order estimation

License

This crate is licensed under the Apache-2.0 license.

Dependencies

~0.9–30MB
~604K SLoC