SARIMAX.JL: OPEN-SOURCE TIME SERIES MODELING IN JULIA THROUGH ADVANCED OPTIMIZATION
LUIZ FERNANDO CUNHA DUARTE · 2024
This dissertation introduces SARIMAX.jl, a Julia package designed for time series estimation.The primary contribution of this work is the separation of model formulation from the estimation process, which allows for the selection of the most appropriate estimation method for each specific situation.SARIMAX.jlemploys advanced optimization techniques to enhance stability, robustness, and accuracy in modeling SARIMA processes.The package also offers flexibility by allowing users to incorporate regularization and switch objective functions.Through a comparative study, SARIMAX.jldemonstrates superior performance across various in-sample metrics and competitive performance when compared to the R forecast package in the M4 competition monthly series, establishing it as a reliable open-source option for time series modeling.Additionally, this dissertation proposes a mixed-integer optimization approach for the specification and estimation of a specific subset of SARIMA models, known as seasonal autoregressive integrated (SARI) models.This approach guarantees global optimality in parameter estimation and the specification of the integration order and autoregressive part.