C++ ARMA method and regression analysis

问题

Is there any C++ library that implements the ARMA method and possibly its variants? I'd be good to have a mature distribution for this kind of analysis.

回答1:

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

• Use R to compute ARMA models
• Use RCCP to link C++ to R (or vice versa)

来源：https://stackoverflow.com/questions/11272856/c-arma-method-and-regression-analysis