sima — simultaneous VARMA on the ATSW ladder

sima is the MCP assistant for systems of time series: VARMA models by exact maximum likelihood, built on the univariate models of each series, and, when the series are cointegrated, the VARMA-VEC in levels. The engines are drvarma, whose ladder mode takes fue's univariate files as input, and drvec, the port of drvec C (Mauricio's VARMA-VEC by exact maximum likelihood), which takes the same files. This package is the assistant: the protocol the model walks, the evidence at each node, and the menu of decisions.

It is the third rung of the ATSW ladder:

art (one series)  →  mtram (transfer networks)  →  sima (systems)

You arrive at sima with several univariate models (.pre files from art or fue), or from mtram when its network identification found a cycle: two series that feed each other, which no transfer network can hold. sima takes the same files.

Install

pip install sima-tseries            # from univariate models (.pre / .inp files); brings drvec
pip install "sima-tseries[raw]"     # also from raw data: adds art-tseries, pandas, openpyxl

The raw entry (load_data, characterize, build_univariate, write_specs) uses art's engine, so it needs the raw extra; so do the worked examples that start from the data (lutkepohl_poskitt, tiao_box).

Register the server in your MCP client (the command is sima, stdio). The binary wheels of drvarma carry the compiled likelihood the ladder needs. If they are missing, drvarma warns and runs about 250 times slower. drvec's wheels carry drvec C 0.13, which runs the long bootstraps (the rank test, the IRF bands) 6-12 times faster than the port; the engine used is written in every result.

Related MCP server: ART MCP Server

The protocol

The rules that shape everything:

• The univariate model is the yardstick. A VARMA that does not forecast better than the univariate models out of sample has no reason to exist, however significant its cross terms are in sample. For a VEC the comparison is always made and reported: a veto when the model is to forecast, a caveat beside a long-run claim (the purpose is recorded at N1c).

• No cointegration claim without a finished bootstrap. The rank is the parametric bootstrap's; the asymptotic table is orientation only. A rank adopted on theory is written in the guion as such.

• Evidence and a menu, not a verdict. The tools show the evidence and the options with their arguments for and against. The analyst decides in the guided lane, and the model decides, in writing, in the autonomous lane.

See docs/DESIGN.md and the generated tool reference docs/TOOLS.md.

User manual

• Jenkins and Alavi's method: the method of Jenkins and Alavi (1981), how sima implements it tool by tool, and their muskrat-mink example worked through from art's univariate models — runnable in examples/jenkins_alavi/.

• Tiao and Box's method: the vector first, Tiao and Box (1981) and Box and Tiao (1977): the stepwise M(l), the canonical analysis of the levels, the structure and the simplification. Their gas furnace is runnable in examples/tiao_box/, and the flour prices in examples/flour_prices/.

• Cointegrated systems: the cointegration question at N1c, the rank by parametric bootstrap, the VEC and its long run (the plan: docs/PLAN-vec.md). Worked in examples/flour_prices/ (the flagship: where the ladder's analysis leads into the rank), examples/jenkins_alavi/ (the mixed case) and examples/lutkepohl_e1/ (Lütkepohl's E1: one relation, who corrects, an ill-defined fit declared) and examples/johansen_juselius/ (the Danish money demand: the bootstrap against the asymptotic table at n = 55). Each ships its bootstraps' cache, so the tutorial's jobs return at once.

• The echelon form: Lütkepohl and Poskitt's (1996) identified VARMA: the Kronecker indices from the data (identify_echelon), the fit (estimate(indices=...)), and their flour prices worked through, runnable in examples/lutkepohl_poskitt/.

Each worked example runs node by node in a conversation with load_example(<name>) (examples lists them).

Licence

GPL-2.0-or-later. Authors: A.B. Treadway, J.A. Mauricio and D.E. Guerrero (the engine); D.E. Guerrero (the assistant).