FitAR: Subset AR Model Fitting
Version 1.94

Comprehensive model building function for identification, estimation and diagnostic checking for AR and subset AR models. Two types of subset AR models are supported. One family of subset AR models, denoted by ARp, is formed by taking subet of the original AR coefficients and in the other, denoted by ARz, subsets of the partial autocorrelations are used. The main advantage of the ARz model is its applicability to very large order models.

Browse man pages Browse package API and functions Browse package files

AuthorA.I. McLeod, Ying Zhang and Changjiang Xu
Date of publication2013-03-16 07:18:01
MaintainerA.I. McLeod <aimcleod@uwo.ca>
LicenseGPL (>= 2)
Version1.94
URL http://www.stats.uwo.ca/faculty/aim
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("FitAR")

Man pages

AcfPlot: Basic ACF Plotting
AR1Est: Exact MLE Mean-Zero AR(1)
ARSdf: Autoregressive Spectral Density Function
ARToMA: Coefficients In Infinite Moving Average Expansion
ARToPacf: Reparametrize AR Coefficients In Terms of PACF
BackcastResidualsAR: Innovation Residuals in AR
BICqLL: Select best model using BICq
Boot: Generic Bootstrap Function
Boot.FitAR: Simulate a Fitted AR
Boot.ts: Parametric Time Series Bootstrap
BoxCox: Generic Box-Cox Analysis Function
BoxCox.Arima: Box-Cox Analysis for "Arima" Objects
BoxCox.FitAR: Box-Cox Analysis for "FitAR" Objects
BoxCox.numeric: Box-Cox Analysis for a Time Series
BoxCox.ts: Box-Cox Analysis for a Time Series
bxcx: Box-Cox Transformation and its Inverse
Caffeine: Caffeine industrial time series
ChampernowneD: Champernowne Matrix
coef.FitAR: Display Estimated Parameters from Output of "FitAR"
Commodities: Commodity prices
cts: Concantenate Time Series
DetAR: Covariance Determinant of AR(p)
FastLoglikelihoodAR: Fast Computation of the Loglikelihood Function in AR
FitAR: Fit AR, ARp and ARz
FitARp: Fit subset ARp Models
FitAR-package: Fits AR and subset AR models and provides complete model...
FitARz: Subset ARz Model Fitting
fitted.FitAR: Fitted Values from "FitAR" Object
FromSymmetricStorageUpper: Converts a Matrix from Symmetric Storage Mode to Regular...
FXRates: Foreign exchange rates
Get1G: Internal Utility Function: BLUE Mean
GetARMeanMLE: Exact MLE for Mean in AR(p)
GetB: Internal Utility Function
GetFitAR: MLE for AR, ARp and ARz
GetFitARpLS: LS for AR(p) and Subset ARp - Short Version
GetFitARpMLE: Exact MLE for subset ARp Models
GetFitARz: Exact MLE for AR(p) and Subset ARz - Short Version
GetKappa: Internal Utility Function
GetLeapsAR: Select lags for Best Subset ARp Model
getRho: Normalized rho unit root test statistic
getT: t-statistic for unit root test
glog: glog transformation
InformationMatrixAR: Information Matrix for AR(p)
InformationMatrixARp: Fisher Information Matrix Subset Case, ARp
InformationMatrixARz: Fisher Information Matrix Subset Case, ARz
InvertibleQ: Test if Invertible or Stationary-casual
Jacobian: Jacobian AR-coefficients to Partial Autocorrelations
JacobianK: Internal Utility Function
JarqueBeraTest: Jarque-Bera Normality Test
LBQPlot: Plot Ljung-Box Test P-value vs Lag
LjungBoxTest: Ljung-Box Test for Randomness
LoglikelihoodAR: Exact Loglikelihood for AR
Ninemile: Douglas Fir Treerings, Nine Mile Canyon, Utah, 1194-1964
PacfDL: Partial Autocorrelations via Durbin-Levinson
PacfPlot: Plot Partial Autocorrelations and Limits
PacfToAR: Transform from PACF Parameters to AR Coefficients
PlotARSdf: Plot AR or ARMA Spectral Density
plot.FitAR: Plot Method for "FitAR" Object
plot.Selectmodel: Subset AR Graph for "Selectmodel" Object
predict.FitAR: Predict Subset AR Model
print.FitAR: Print Method for "FitAR" Object
RacfPlot: Residual Autocorrelation Plot
Readts: Input a Time Series
residuals.FitAR: Extract Residuals from "FitAR" Object
sdfplot: Autoregressive Spectral Density Estimation
sdfplot.ar: Autoregressive Spectral Density Estimation for "ar"
sdfplot.Arima: Spectral Density of Fitted ARIMA Model
sdfplot.FitAR: Autoregressive Spectral Density Estimation for "FitAR"
sdfplot.numeric: Autoregressive Spectral Density Estimation for "numeric"
sdfplot.ts: Autoregressive Spectral Density Estimation for "ts" Object
SelectModel: Select Best AR, ARz or ARp Model
SeriesA: Series A, Chemical Process Concentration Readings
SeriesB: Series B
SeriesB2: IBM Stock Prices, 2nd series
SiddiquiMatrix: Covariance Matrix of MLE Parameters in an AR(p)
SimulateGaussianAR: Autoregression Simulation
summary.FitAR: Summary Method for "FitAR" Object
TacvfAR: Theoretical Autocovariance Function of AR
TacvfMA: Theoretical Autocovariances for Moving Average Process
TimeSeriesPlot: Multi-Panel or Single-Panel Time Series Plot with...
toBinary: Binary representation of non-negative integer
UnitRootTest: Unit Root Test
USTobacco: U.S. Tobacco Production, 1871-1984
VarianceRacfAR: Covariance Matrix Residual Autocorrelations for AR
VarianceRacfARp: Covariance Matrix Residual Autocorrelations for ARp
VarianceRacfARz: Covariance Matrix Residual Autocorrelations for ARz
Willamette: Willamette Riverflow Time Series

Functions

AR1Est Man page
ARSdf Man page
ARToMA Man page
ARToPacf Man page
AcfPlot Man page
BICqLL Man page Source code
BICqSelect Source code
BackcastResidualsAR Man page
Boot Man page
Boot.FitAR Man page
Boot.ts Man page
BoxCox Man page
BoxCox.Arima Man page
BoxCox.FitAR Man page
BoxCox.numeric Man page
BoxCox.ts Man page
Caffeine Man page
ChampernowneD Man page
Commodities Man page
DetAR Man page
FXRates Man page
FastLoglikelihoodAR Man page
FitAR Man page
FitAR-package Man page
FitARp Man page Source code
FitARz Man page Source code
FromSymmetricStorageUpper Man page
Get1G Man page
GetARMeanMLE Man page
GetB Man page
GetFitAR Man page
GetFitARpLS Man page
GetFitARpMLE Man page
GetFitARz Man page
GetKappa Man page
GetLeapsAR Man page Source code
InformationMatrixAR Man page
InformationMatrixARp Man page
InformationMatrixARz Man page
InvertibleQ Man page
Jacobian Man page
JacobianK Man page
JarqueBeraTest Man page
LBQPlot Man page
LjungBoxTest Man page
LoglikelihoodAR Man page
Ninemile Man page
PacfDL Man page
PacfPlot Man page
PacfToAR Man page
PlotARSdf Man page
RacfPlot Man page
Readts Man page
SelectModel Man page Source code
SeriesA Man page
SeriesB Man page
SeriesB2 Man page
SiddiquiMatrix Man page
SimulateGaussianAR Man page
TacvfAR Man page
TacvfMA Man page
TimeSeriesPlot Man page
USTobacco Man page
UnitRootTest Man page Source code
VarianceRacfAR Man page
VarianceRacfARp Man page
VarianceRacfARz Man page
Willamette Man page
bxcx Man page
coef.FitAR Man page
cts Man page
fitted.FitAR Man page
getRho Man page
getT Man page
glog Man page
plot.FitAR Man page
plot.Selectmodel Man page
predict.FitAR Man page
print.FitAR Man page
residuals.FitAR Man page
sdfplot Man page
sdfplot.Arima Man page
sdfplot.FitAR Man page
sdfplot.ar Man page
sdfplot.numeric Man page
sdfplot.ts Man page
summary.FitAR Man page
toBinary Man page Source code

Files

MD5
src
src/asBinary.c
R
R/VarianceRacfARz.R
R/VarianceRacfARp.R
R/VarianceRacfAR.R
R/UnitRootTest.R
R/toBinary.R
R/TimeSeriesPlot.R
R/TacvfMA.R
R/TacvfAR.R
R/summary.FitAR.R
R/SimulateGaussianAR.R
R/SiddiquiMatrix.R
R/SelectModel.R
R/sdfplot.ts.R
R/sdfplot.R
R/sdfplot.numeric.R
R/sdfplot.FitAR.R
R/sdfplot.Arima.R
R/sdfplot.ar.R
R/residuals.FitAR.R
R/Readts.R
R/RacfPlot.R
R/print.FitAR.R
R/predict.FitAR.R
R/PlotARSdf.R
R/plot.Selectmodel.R
R/plot.FitAR.R
R/PacfToAR.R
R/PacfPlot.R
R/PacfDL.R
R/LoglikelihoodAR.R
R/LjungBoxTest.R
R/LBQPlot.R
R/JarqueBeraTest.R
R/JacobianK.R
R/Jacobian.R
R/InvertibleQ.R
R/InformationMatrixARz.R
R/InformationMatrixARp.R
R/InformationMatrixAR.R
R/glog.R
R/getT.R
R/getRho.R
R/GetLeapsAR.R
R/GetKappa.R
R/GetFitARz.R
R/GetFitARpMLE.R
R/GetFitARpLS.R
R/GetFitAR.R
R/GetB.R
R/GetARMeanMLE.R
R/Get1G.R
R/FromSymmetricStorageUpper.R
R/fitted.FitAR.R
R/FitARz.R
R/FitARp.R
R/FitAR.R
R/FastLoglikelihoodAR.R
R/DetAR.R
R/cts.R
R/coef.FitAR.R
R/ChampernowneD.R
R/bxcx.R
R/BoxCox.ts.R
R/BoxCox.R
R/BoxCox.numeric.R
R/BoxCox.FitAR.R
R/BoxCox.Arima.R
R/Boot.ts.R
R/Boot.R
R/Boot.FitAR.R
R/BICqSelect.R
R/BICqLL.R
R/BackcastResidualsAR.R
R/ARToPacf.R
R/ARToMA.R
R/ARSdf.R
R/AR1Est.R
R/AcfPlot.R
NEWS
NAMESPACE
man
man/Willamette.Rd
man/VarianceRacfARz.Rd
man/VarianceRacfARp.Rd
man/VarianceRacfAR.Rd
man/USTobacco.Rd
man/UnitRootTest.Rd
man/toBinary.Rd
man/TimeSeriesPlot.Rd
man/TacvfMA.Rd
man/TacvfAR.Rd
man/summary.FitAR.Rd
man/SimulateGaussianAR.Rd
man/SiddiquiMatrix.Rd
man/SeriesB2.Rd
man/SeriesB.Rd
man/SeriesA.Rd
man/SelectModel.Rd
man/sdfplot.ts.Rd
man/sdfplot.Rd
man/sdfplot.numeric.Rd
man/sdfplot.FitAR.Rd
man/sdfplot.Arima.Rd
man/sdfplot.ar.Rd
man/residuals.FitAR.Rd
man/Readts.Rd
man/RacfPlot.Rd
man/print.FitAR.Rd
man/predict.FitAR.Rd
man/PlotARSdf.Rd
man/plot.Selectmodel.Rd
man/plot.FitAR.Rd
man/PacfToAR.Rd
man/PacfPlot.Rd
man/PacfDL.Rd
man/Ninemile.Rd
man/LoglikelihoodAR.Rd
man/LjungBoxTest.Rd
man/LBQPlot.Rd
man/JarqueBeraTest.Rd
man/JacobianK.Rd
man/Jacobian.Rd
man/InvertibleQ.Rd
man/InformationMatrixARz.Rd
man/InformationMatrixARp.Rd
man/InformationMatrixAR.Rd
man/glog.Rd
man/getT.Rd
man/getRho.Rd
man/GetLeapsAR.Rd
man/GetKappa.Rd
man/GetFitARz.Rd
man/GetFitARpMLE.Rd
man/GetFitARpLS.Rd
man/GetFitAR.Rd
man/GetB.Rd
man/GetARMeanMLE.Rd
man/Get1G.Rd
man/FXRates.Rd
man/FromSymmetricStorageUpper.Rd
man/fitted.FitAR.Rd
man/FitARz.Rd
man/FitARp.Rd
man/FitAR.Rd
man/FitAR-package.Rd
man/FastLoglikelihoodAR.Rd
man/DetAR.Rd
man/cts.Rd
man/Commodities.Rd
man/coef.FitAR.Rd
man/ChampernowneD.Rd
man/Caffeine.Rd
man/bxcx.Rd
man/BoxCox.ts.Rd
man/BoxCox.Rd
man/BoxCox.numeric.Rd
man/BoxCox.FitAR.Rd
man/BoxCox.Arima.Rd
man/Boot.ts.Rd
man/Boot.Rd
man/Boot.FitAR.Rd
man/BICqLL.Rd
man/BackcastResidualsAR.Rd
man/ARToPacf.Rd
man/ARToMA.Rd
man/ARSdf.Rd
man/AR1Est.Rd
man/AcfPlot.Rd
inst
inst/doc
inst/doc/v28i02-tables.R
inst/doc/v28i02-figures.R
inst/doc/Sunspot.R
inst/doc/NEWS
inst/doc/JSSv28i02.pdf
inst/doc/index_files
inst/doc/index_files/themedata.thmx
inst/doc/index_files/preview.wmf
inst/doc/index_files/filelist.xml
inst/doc/index_files/colorschememapping.xml
inst/doc/index.html
inst/doc/glog.pdf
inst/doc/glog.nb
inst/doc/BICq.pdf
inst/CITATION
DESCRIPTION
data
data/Willamette.rda
data/USTobacco.rda
data/SeriesB2.rda
data/SeriesB.rda
data/SeriesA.rda
data/Ninemile.rda
data/FXRates.rda
data/Commodities.rda
data/Caffeine.rda
FitAR documentation built on May 19, 2017, 2:06 p.m.