s-broda / ARCHModels.jl
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    ARMA{p, q, T} <: MeanSpec{T}
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An ARMA(p, q) mean specification.
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"""
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struct ARMA{p, q, T} <: MeanSpec{T}
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    coefs::Vector{T}
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    function ARMA{p, q, T}(coefs::Vector) where {p, q, T}
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    end
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end
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"""
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    fit(t::Type{<:ARMA}, data; kwargs...) -> UnivariateARCHModel
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Fit an `ARMA{p, q}` model to `data`.
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"""
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fit(t::Type{<:ARMA}, data; kwargs...) = fit(ARCH{0}, data; meanspec=t, kwargs...)
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"""
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    selectmodel(::Type{<:ARMA}, data; kwargs...)  -> UnivariateARCHModel
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Fit a number of `ARMA{p, q}` models to `data` and return that which
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minimizes the [BIC](https://en.wikipedia.org/wiki/Bayesian_information_criterion).
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# Keyword arguments:
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- `dist=StdNormal`: the error distribution.
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- `minlags=1`: minimum lag length to try in each parameter of `VS`.
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- `maxlags=3`: maximum lag length to try in each parameter of `VS`.
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- `criterion=bic`: function that takes a `UnivariateARCHModel` and returns the criterion to minimize.
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- `show_trace=false`: print `criterion` to screen for each estimated model.
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- `algorithm=BFGS(), autodiff=:forward, kwargs...`: passed on to the optimizer.
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"""
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selectmodel(t::Type{<:ARMA}, data; kwargs...) = selectmodel(ARCH{0}, data; meanspec=t, kwargs...)
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"""
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    ARMA{p, q}(coefs::Vector)
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Create an ARMA(p, q) model.
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