Detailed reference to facilitate manual implementation of ARIMAX

Asked Jul 22 '16 at 17:12

Active Jul 23 '16 at 12:43

Viewed 211 times

ARIMAX is implemented in SAS and R (function arimax in "TSA" package).

I want to implement ARIMAX in an open source library in Scala and Python.

Is there any reference, like a research paper or a step-by-step explanation, on how ARIMAX works inside (except of Rob J. Hyndman's blog post "The ARIMAX model muddle")?

edited Jul 23 '16 at 12:43

Richard Hardy

asked Jul 22 '16 at 17:12

ekot

R is open source so why do you not read the source code? – mdewey Jul 22 '16 at 17:39
@Mdewey that's right, I read but I'm not familiar with R at all. – ekot Jul 22 '16 at 18:25
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ARIMA modelling in R - https://www.otexts.org/fpp/8/7 – ekot Jul 22 '16 at 20:05

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