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sima

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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. The engine is drvarma, whose ladder mode takes fue's univariate files as input. 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

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.

Related MCP server: ART MCP Server

The protocol

node

tool

what it answers

N0

load_pre

the univariate models, the common window

N1

run_gate

does the joint model reproduce the univariate ones? (it stops the analysis if not)

N2

identify_cross

what the univariate models do NOT carry: residual cross-correlations

N3–N4

estimate

a candidate: cross orders, covariance, LR against the univariates

N5

evaluate

the yardstick: does it forecast better than the univariates?

N6

forecast, impulse_response, variance_decomposition

use of the chosen model

—

record_decision, export_guion

the record of the analysis

—

split_inp

out of drvarma's deprecated multivariate .inp

Two rules 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.

  • 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.

Licence

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

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Maintenance

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