Java and Time Series Analysis

In the course of my exploration of numerical engines to perform univariate and multivariate time series analysis, there is a dissertation done and series of papers by Dr. Markus Kratzig at the Insitute of Statistics and Econometrics on using a Java based application framework to interface with mathematical and statistical engines such as Gauss, Ox and R. His free software can be obtained at

http://www.jstatcom.com/

and provides a very intuitive and easy to use extensible application for doing multiple time series analysis with ARIMA, ARCH/GARCH, VARS and ECMs models.

Furthermore, by using the Java classes with and an IDE like Eclipse, a graphical user interface framework is easy to use for building your own application around other statistical engines. I had the same idea for using .NET, but his API is far more developed than mine. Using GAUSS/MatLab, one can compile their routines and easily integrate them into the environment. Of course, it does not have to be a commerical application, but one could use R, the matrix package JAMA, or GSL.

There is a lot of value here in this work and for scholars learning about the application of time series methods, computer science and programming models, and numerical algorithms for cutting edge research. Personally, I am going through the rJava/JRI code to use R with Java. In previous posts, I have written about how to use R with C#.NET and would like to be able to do the same with Java within this framework. There no since in reinventing the wheel and it is easier to think in terms of collages then be a purist armed with only a single language. The author provides easy to follow examples in his paper and website for such work and again thereis a lot of valuable information to be gained in the exercise. Especially, the Help system for JMulti which provides indepth documentation on models, diagnostics, etc. and is recommended to examine as well.

In reading journal articles, everyone has their preferences and well as intellectual investments, so I think it is important to be flexible, open and use what's available to achieve the end result.