Hi,Quite Familiar with NR, I am trying to implement ARIMA model in C/C++.Does anyone know where to find free code?Thanks for help.

Hi,I am also looking for ARIMA models in C++ and I was wondering if you found anything. Please let me know.Thanks.

Hi,
i don't know a free source for ar(i)ma models, but i can give you my.
If you don't found a free source...

schroeder-h@gmx.net

The "R" software project (free version of S Plus) will have this.

This can be downloaded from www.stats.bris.ac.uk/R/

From memory the time series package is separate s oyou have to download this package too. R is written in C.

Thanks Mark! I'd looked for an open-source stats package a while back and was convinced not much was out there til your pointer to 'R'.

One good pointer deserves another. Pardon me for getting a little off-topic (free C code), but if there are any matlab users who want a free alternative to the pricey GARCH toolbox check out: Econometrics Toolbox

Thank you guys for all this info!
I am reading the following book on Time series analysis - A Course in Time Series Analysis by Daniel Pena, George tiao, Ruey Tsay - and I am looking for more detail analysis on statistic methods on time series analysis. Any suggestion?
Thanks.

Yop, How proficient are you? The magnum opus of Time Series is Hamilton's "Time Series Analysis"--but it is not for the faint of heart.

Athletico, there are better free GARCH toolboxes for Matlab than James', there is mine which is IMHO the best univariate toolbox available, and there is Kevin Shepperd's here which is by far the best Matlab toolbox for multivariate GARCH.

anyway, HTH,

matt.

matt

the trouble with hamilton is that's it's chock full of equations with few numerical examples and thus gives me very little intuition or practical help

you don't really need to get bogged down in yule-walker equations but for practical implementation you're better off understanding the solution methods for the varying types of models (exact, intelligent guess plus iteration / solver in excel) - i found a small book by pecar called business forecasting for management by mcgraw hill had some relevant chapters though not a mainstream time series book

mike

Hi,

Matt,

I had browsed at Hamilton's book - Time Series Analysis - and found it rather indigest. I was not scared by the mathematics but there are no praticle examples (it is probably not his objective). I think it is a great reference but I am looking for something more technical in terms of implementation (examples, programs, etc...).
I have an other question: do you think that anyone wanting to develop an expertise in financial forecasting should dive into the Halmilton's book?

Mike,
I looked for the book that you mentioned but could not find it anywhere (referenced here and there but not listed at major booksellers). Do you know a bookseller that would have it?

Thanks,
Yop

yop,
you could try Textbook Trader, a website for secondhand textbooks; there may be a copy available. alternatively, the weekend section of saturday's FT often has adverts for booksellers who will search for out of print titles for you (for free). i used one to find "swap literacy", though it was very expensive compared to the price on amazon's z-shops (in the US).

folks, i have a list of books here on time series analysis.the page is editable so please feel free to put your comments beneath the book and if you know of other references just put its "ISBN:NUMBER" on the page and when you save it will automagically giveyou which bookstores have the book!![krishna ducks runs for cover after some shameless self-publicity]

Dear EdeS,You said you have ARIMA code in C. Can you give me a copy of that? I am also looking for same for long time. My address is arun.kumar.saha@gmail.comthanx