C ++ ARMA method and regression analysis

Question

Is there a C ++ library that implements the ARMA method and, possibly, its variants? I would well have a mature distribution for such an analysis.

Answer 1

I am not aware of any native C ++ library for calculating ARMA models. However, if convenience is more important to you than raw performance, you can do it indirectly:

• Use R to calculate the ARMA model.
• Use RCCP to associate C ++ with R (or vice versa)