[R] Packages for Nonlinear ARIMA Estimation

Michael Howell mchowe||2 @end|ng |rom gm@||@com
Thu Sep 5 03:38:43 CEST 2019


Hello,
I am looking for an R package that uses nonlinear least squares to fit
ARIMA models. Initially I was using tseries but according to the
documentation for the Arima function in tseries:

*The exact likelihood is computed via a state-space representation of the
ARIMA process, and the innovations and their variance found by a Kalman
filter.  *

Are there any alternative commands that use nonlinear least squares?

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