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feat: ARIMA models - #473

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albersonmiranda wants to merge 16 commits into
grafana:mainfrom
albersonmiranda:arima
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feat: ARIMA models#473
albersonmiranda wants to merge 16 commits into
grafana:mainfrom
albersonmiranda:arima

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@albersonmiranda

@albersonmiranda albersonmiranda commented Apr 1, 2026

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This PR adds ARIMA modelling to augurs.

Closes #450 .

  • Crate setup
  • Error type
  • Kalman Filter
  • Estimation
  • Unit root tests (ADF and KPSS)
  • Forecasting
  • Tests: AirPassengers

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@albersonmiranda

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Huge milestone reached today: Arima parameter estimation is done! Matches perfectly R's stats::ar() (Yule-Walker) for initial values and stats::arima() with css, ml and css-ml methods.

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Arima

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