FitAR: Subset AR Model Fitting

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.

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
http://www.stats.uwo.ca/faculty/aim

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

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