GetFitAR: MLE for AR, ARp and ARz

In FitAR: Subset AR Model Fitting

Description

Obtains the exact MLE for AR(p) or subset AR models ARp or ARz. This function is used by FitAR. One might prefer to use GetFitAR for applications such as bootstrapping since it is faster than FitAR.

Usage

GetFitAR(z, p, ARModel = "ARz", ...)

Arguments

z	time series
p	model order or subset lags
ARModel	either "ARp" or "ARz" corresponding to GetFitARp or GetFitARz
...	optional arguments which are passed to GetFitARp or GetFitARz

Details

This is just a shell which simply invokes either GetFitARp or GetFitARz

Value

loglikelihood	value of maximized loglikelihood
zetaHat	estimated zeta parameters
phiHat	estimated phi parameters
convergence	result from optim

Author(s)

A.I. McLeod

References

McLeod, A.I. and Zhang, Y. (2006). Partial autocorrelation parameterization for subset autoregression. Journal of Time Series Analysis, 27, 599-612.

McLeod, A.I. and Zhang, Y. (2008a). Faster ARMA Maximum Likelihood Estimation, Computational Statistics and Data Analysis 52-4, 2166-2176. DOI link: http://dx.doi.org/10.1016/j.csda.2007.07.020.

McLeod, A.I. and Zhang, Y. (2008b, Submitted). Improved Subset Autoregression: With R Package. Journal of Statistical Software.

See Also

FitAR

Examples

#compare results from GetFitAR and FitAR
z<-log(lynx)
z<-z - mean(z)
GetFitAR(z, c(1,2,8))
out<-FitAR(log(lynx), c(1,2,8))
out
coef(out)

FitAR documentation built on May 2, 2019, 3:22 a.m.