FUE 1.13.1

Free Univariate Estimation — exact maximum likelihood estimation of univariate time series models.

Copyright (C) 1995-1996 J.A. Mauricio; 2009-2026 A.B. Treadway & D.E. Guerrero
License: GNU General Public License v2 or later.

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Table of contents

1. Introduction
2. System requirements
3. File structure
4. Building
5. Command-line usage
6. Workflow with FUF and gtk_fue
7. Example
8. Integration with external editors
9. Bug reports

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Introduction

FUE is a command-line program for estimating univariate time series models using Exact (Unconditional) Maximum Likelihood (EML). It follows the identification–estimation–validation cycle proposed by Box & Jenkins (1970), with later extensions.

Two companion modules complete the univariate analysis toolkit:

• FUF — forecasting
• gtk_fue — GTK+3 graphical interface for FUE

System requirements

• C compiler: GCC ≥ 9 (Linux/macOS) or MinGW-w64 (Windows)
• GNU Scientific Library (GSL) ≥ 2.0
• Gnuplot ≥ 5.0 (for high-resolution plots)
• GNU Make

On Debian/Ubuntu:

sudo apt install build-essential libgsl-dev gnuplot

On macOS (Homebrew):

brew install gsl gnuplot

File structure

fue-1.13.1/
├── src/           source files (.c)
├── include/       header files (.h)
├── obj/           compiled objects (created by make)
├── bin/           executable (created by make)
├── Makefile
├── README.md
└── README.es.md

Building

Linux (default)

make

The executable is placed in bin/fue.

macOS

make

If GSL is installed via Homebrew and pkg-config cannot find it:

PKG_CONFIG_PATH=/opt/homebrew/lib/pkgconfig make

Windows — cross-compilation from Linux using MXE

make CROSS=x86_64-w64-mingw32.static-    # 64-bit
make CROSS=i686-w64-mingw32.static-      # 32-bit

The executable is placed in bin/fue.exe.

Other targets

make clean       # remove object files and executable
make distclean   # remove obj/ and bin/
make install     # copy bin/fue to /usr/local/bin
make uninstall   # remove /usr/local/bin/fue

Command-line usage

fue input [eml|aml] [chk|nochk] [-f [horizon]]

Argument	Description
input	model-data file name (without .inp extension)
eml|aml	exact | approximate maximum likelihood (default: eml)
chk|nochk	check | skip MA invertibility check (default: chk)
-f [horizon]	generate forecast_input.inp for FUF; horizon is the number of forecast periods (default: 24)

FUE produces a text output file input.out and, when Gnuplot is available, a PostScript report input.ps with high-resolution plots.

Workflow with FUF and gtk_fue

The normal workflow is:

1. Estimate with FUE:

   fue mymodel
   

   Reads mymodel.inp and writes the estimation report mymodel.out.

2. Generate the forecast input file:

   fue mymodel -f [horizon]
   

   Writes forecast_mymodel.inp containing the estimated parameters, the forecast horizon (default: 24 periods), and the innovation variance.

3. Compute the forecasts with FUF:

   fuf forecast_mymodel
   

   Reads forecast_mymodel.inp and produces the forecast report.

From gtk_fue, steps 2 and 3 are triggered automatically by the Forecast button in the toolbar.

Example

Write a model specification file mymodel.inp, then:

fue mymodel
fue mymodel -f 12
fuf forecast_mymodel

The src/ directory of the companion fue-1.13 release contains a sample examples/PU.1.inp file with US CPI data from January 2000 to December 2008.

Integration with external editors

KILE

1. Settings → Configure Kile... → Build → New Tool...
2. Name: FUE; type: <Custom>
3. General tab: Command = fue, Options = '%S'
4. Advanced tab: Type = Run in Konsole; Source Extension = inp; Target Extension = out
5. Menu tab: Add to Build menu = Other

Bug reports

David E. Guerrero — davidesg@ucm.es