Arima Regression R. Birger is a new contributor to this site. The process of fitting an ARIMA model is sometimes referred to as the Box-Jenkins method.
Performance Evaluation Of Auto Arima In R And Ucm On One Dataset Cross Validated from stats.stackexchange.com
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What is described here is the default behaviour.
121 2 2 bronze badges. Roadmap for Q1 2021. In R with gls and arima and in SAS with PROC AUTOREG its possible to specify a regression model with errors that have an ARIMA structure. With a package that includes regression and basic time series procedures its relatively easy to use an iterative procedure to determine adjusted regression coefficient estimates and their standard errors.
