arimaID: Automatic Modeling of a Scalar Time Series

Description Usage Arguments Details Value Examples

Description

Automatic selection and estimation of a regular or possibly seasonal ARIMA model for a given time series.

Usage

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arimaID(
  zt,
  maxorder = c(5, 1, 3),
  criterion = "bic",
  period = c(12),
  output = TRUE,
  method = "CSS-ML",
  pv = 0.01,
  spv = 0.01,
  transpv = 0.05,
  nblock = 0
)

Arguments

zt

T by 1 vector of an observed scalar time series without any missing values.

maxorder

Maximum order of (p,d,q) where p is the AR order, d the degree of differencing, and q the MA order. Default value is (5,1,4).

criterion

Information criterion used for model selection. Either AIC or BIC. Default is "bic".

period

Seasonal period. Default value is 12.

output

If TRUE it returns the differencing order, the selected order and the minimum value of the criterion. Default is TRUE.

method

Estimation method. See the arima command in R. Possible values are "CSS-ML", "ML", and "CSS". Default is "CSS-ML".

pv

P-value for unit-root test. Default value is 0.01.

spv

P-value for detecting seasonality. Default value is 0.01.

transpv

P-value for checking non-linear transformation. Default value is 0.05.

nblock

Number of blocks used in checking non-linear transformations. Default value is floor(sqrt(T)).

Details

The program follows the following steps:

Value

A list containing:

Examples

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SLBDD documentation built on March 27, 2021, 9:07 a.m.

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