FitAR: Subset AR Model Fitting

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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.

Author
A.I. McLeod, Ying Zhang and Changjiang Xu
Date of publication
2013-03-16 07:18:01
Maintainer
A.I. McLeod <aimcleod@uwo.ca>
License
GPL (>= 2)
Version
1.94
URLs

View on CRAN

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

Files in this package

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