Description Usage Arguments Details Value Author(s) References See Also Examples
The algorithm of McLeod and Zhang (2007) is used.
1 | GetFitARMA(y, p, q, pApprox = 30, init = 0)
|
y |
time series |
p |
AR order |
q |
MA order |
pApprox |
AR approximation |
init |
initial parameter estimates |
See McLeod and Zhang (2006).
loglikelihood |
value of maximized loglikelihood |
phiHat |
estimated phi parameters |
thetaHat |
estimated theta parameters |
convergence |
result from optim |
algorithm |
indicates "L-BFGS-B" or "Nelder-Mead" according as which algorithm was used in optim |
A.I. McLeod, aimcleod@uwo.ca
A.I. McLeod andY. Zhang (2008), Faster ARMA maximum likelihood estimation, Computational Statistics & Data Analysis, 52-4, 2166-2176. DOI link: http://dx.doi.org/10.1016/j.csda.2007.07.020
1 2 3 4 5 | data(SeriesA)
z<-SeriesA-mean(SeriesA)
GetFitARMA(z, 1, 1)
w<-diff(z, differences=1)
GetFitARMA(w, 0, 1)
|
Loading required package: FitAR
Loading required package: lattice
Loading required package: leaps
Loading required package: ltsa
Loading required package: bestglm
$loglikelihood
[1] 228.7854
$phiHat
[1] 0.9086651
$thetaHat
[1] 0.5758
$convergence
[1] 0
$algorithm
[1] "L-BFGS-B"
$loglikelihood
[1] 224.6033
$phiHat
numeric(0)
$thetaHat
[1] 0.6993876
$convergence
[1] 0
$algorithm
[1] "L-BFGS-B"
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