New Statistical Package for Zorro :

ARIMA Package

Module Index
1. Memory and Pointer Management Functions (13)
aa_alloc_vars
aa_clear_arima_work
aa_copy_vars
aa_free_vars
aa_prepare_arima_work
aa_shift_vars
aa_zero_vars
copy_arima_model
free_arima_model
free_arima_work
init_arima_model
init_arima_work
reset_arima_model

2. Basic Math and Array Utilities (20)
aa_abs
aa_argmax
aa_argmin
aa_correlation
aa_covariance
aa_demean
aa_max
aa_max_int
aa_mean
aa_min
aa_min_int
aa_normalize_minmax
aa_safe_div
aa_safe_log
aa_safe_sqrt
aa_square
aa_standardize
aa_stddev
aa_sum
aa_variance

3. Input Validation and Data Cleaning (11)
aa_clip_outliers
aa_count_invalid_values
aa_fill_missing_forward
aa_fill_missing_mean
aa_has_invalid_values
aa_limit_returns
aa_remove_invalid_values
aa_replace_zero_prices
aa_validate_price_series
aa_validate_series
aa_winsorize_series

4. Transformations and Differencing (15)
aa_boxcox_lambda
aa_boxcox_transform
aa_difference_once
aa_difference_series
aa_difference_twice
aa_inverse_boxcox_transform
aa_inverse_difference
aa_inverse_difference_path
aa_inverse_log_transform
aa_inverse_return_forecast
aa_inverse_seasonal_difference
aa_log_transform
aa_return_transform
aa_seasonal_difference_once
aa_seasonal_difference_series

5. Stationarity and Differencing Selection (16)
aa_adf_pvalue_approx
aa_adf_statistic
aa_adf_test
aa_calculate_d
aa_calculate_D
aa_is_stationary
aa_kpss_pvalue_approx
aa_kpss_statistic
aa_kpss_test
aa_ndiffs
aa_ndiffs_heuristic
aa_nsdiffs
aa_nsdiffs_heuristic
aa_pp_pvalue_approx
aa_pp_statistic
aa_pp_test

6. Autocorrelation and Partial Autocorrelation (10)
aa_acf
aa_acf_cutoff_lag
aa_autocorrelation
aa_autocovariance
aa_initial_ar_from_pacf
aa_initial_ma_from_acf
aa_levinson_durbin
aa_pacf
aa_pacf_cutoff_lag
aa_yule_walker

7. AR / MA Validity and Stability (9)
aa_ar_root_modulus
aa_clamp_coefficients
aa_coefficients_are_valid
aa_enforce_invertibility
aa_enforce_stationarity
aa_is_invertible_ma
aa_is_stationary_ar
aa_ma_root_modulus
aa_min_root_modulus

8. ARMA / ARIMA / SARIMA Fitting Functions (7)
aa_arima_fit
aa_arma_fit
aa_css_fit
aa_exact_mle_fit
aa_kalman_loglikelihood
aa_mle_fit
aa_sarima_fit

9. Optimizer Functions (14)
aa_adam_fit
aa_bfgs_fit
aa_check_convergence
aa_compute_gradient
aa_compute_hessian
aa_gradient_descent_fit
aa_gradient_norm
aa_lbfgs_fit
aa_nelder_mead_fit
aa_optimizer_report
aa_set_optimizer_defaults
aa_set_optimizer_learning_rate
aa_set_optimizer_max_iter
aa_set_optimizer_tolerance

10. Likelihood and Model Scoring (10)
aa_aic_score
aa_aicc_score
aa_aicc_score_general
aa_bic_score
aa_compare_ic
aa_conditional_loglikelihood
aa_exact_loglikelihood
aa_hqic_score
aa_loglikelihood
aa_model_score

11. AutoARIMA Search Functions (11)
aa_auto_arima_search
aa_candidate_exists
aa_expand_candidate_models
aa_fallback_model
aa_grid_search_arima
aa_init_candidate
aa_select_best_model
aa_set_candidate
aa_stepwise_auto_arima
aa_try_neighbor_models
aa_validate_candidate_model

12. Seasonal ARIMA / SARIMA Functions (7)
aa_auto_sarima_search
aa_detect_seasonal_period
aa_sarima_forecast_multi_step
aa_sarima_forecast_one_step
aa_seasonal_acf_score
aa_seasonal_strength
aa_stepwise_auto_sarima

13. ARIMAX / SARIMAX Functions (8)
aa_arimax_fit
aa_arimax_forecast
aa_prepare_exogenous_matrix
aa_regression_fit
aa_regression_predict
aa_sarimax_fit
aa_sarimax_forecast
aa_validate_exogenous_data

14. Forecasting Functions (9)
aa_backtransform_forecast
aa_bias_adjusted_backtransform
aa_forecast_bands
aa_forecast_confidence_interval
aa_forecast_multi_step
aa_forecast_one_step
aa_forecast_standard_error
aa_forecast_variance
aa_integrate_forecast

15. Residual Diagnostics (21)
aa_arch_lm_pvalue
aa_arch_lm_stat
aa_arch_lm_test
aa_box_pierce_pvalue
aa_box_pierce_stat
aa_box_pierce_test
aa_compute_residuals
aa_diagnostic_report
aa_durbin_watson_test
aa_jarque_bera_pvalue
aa_jarque_bera_stat
aa_jarque_bera_test
aa_ljung_box_pvalue
aa_ljung_box_stat
aa_ljung_box_test
aa_residual_acf
aa_residual_mean
aa_residual_normality_check
aa_residual_stddev
aa_residual_variance
aa_residual_white_noise_check

16. Model Reporting and File I/O (8)
aa_load_model_from_file
aa_print_coefficients
aa_print_forecast_report
aa_print_model_summary
aa_print_residual_diagnostics
aa_save_diagnostics_to_file
aa_save_forecast_to_file
aa_save_model_to_file

17. Model Caching and Reuse (7)
aa_cache_best_model
aa_clear_model_cache
aa_init_model_cache
aa_load_cached_model
aa_refit_best_model
aa_reuse_previous_model
aa_should_refit_model

18. Walk-Forward and Forecast Evaluation (8)
aa_directional_accuracy
aa_forecast_error_mae
aa_forecast_error_mape
aa_forecast_error_mse
aa_forecast_error_rmse
aa_rolling_forecast_test
aa_train_test_split
aa_walk_forward_arima

19. Trading Signal Functions (9)
aa_backtest_forecast_signal
aa_forecast_edge
aa_forecast_return
aa_forecast_zscore
aa_position_size_from_confidence
aa_position_size_from_forecast
aa_signal_from_confidence_band
aa_signal_from_directional_accuracy
aa_signal_from_forecast

20. Zorro Integration Functions (6)
aa_zorro_forecast_current_asset
aa_zorro_get_close_series
aa_zorro_plot_forecast
aa_zorro_plot_forecast_bands
aa_zorro_print_model
aa_zorro_trade_from_forecast

21. Current AutoARIMA Compatibility Functions (8)
aa_prepare_auto_arima_work
aa_round_to_tick_size
auto_arima_forecast
auto_arima_forecast_with_work
free_auto_arima_result
free_auto_arima_work
init_auto_arima_result
init_auto_arima_work