# ARIMA model fitting and forecasting implementation

I am new to time series modelling and I am trying to build a simple time series model using ARIMA methodology and forecast. I could write an R program to do the same, but I am more interested in writing my own arima(1,1,0) and predict() functions that R provides in Java / C++ / Python. While I can go about reading the theory behind ARIMA modeling and then implementing it, I still face a learning curve there, due to time constraints, I would like to take an approach where I can see a time series data sample, and a write up which walks me through the steps to compute arima() and predict() so that I can implement an algorithm. If someone can point me to a sourcecode / psedocode / step-by-step example via data, it would really be helpful.

• Last time I went on the same cruise I found books on ARIMA rather than articles :) – Farhan Ahmed May 2 '13 at 22:57
• Well R is open source, so you already have some source code. – Rob Hyndman May 3 '13 at 3:14