armasubsets: Selection of Subset ARMA Models

Description Usage Arguments Value Author(s) Examples

Description

This function finds a number of subset ARMA models. A "long" AR model is fitted to the data y to compute the residuals which are taken as a proxy of the error process. Then, an ARMA model is approximated by a regression model with the the covariates being the lags of the time series and the lags of the error process. Subset ARMA models may then be selected using the subset regression technique by leaps and bounds, via the regsubsets function of the leaps package in R.

Usage

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armasubsets(y, nar, nma, y.name = "Y", ar.method = "ols", ...)

Arguments

y

time-series data

nar

maximum AR order

nma

maximum MA order

y.name

label of the time series

ar.method

method used for fitting the long AR model; default is ols with the AR order determined by AIC

...

arguments passed to the plot.armasubsets function

Value

An object of the armasubsets class to be processed by the plot.armasubsets function.

Author(s)

Kung-Sik Chan

Examples

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set.seed(92397)
test=arima.sim(model=list(ar=c(rep(0,11),.8),ma=c(rep(0,11),0.7)),n=120)
res=armasubsets(y=test,nar=14,nma=14,y.name='test',ar.method='ols')
plot(res)

Example output

Loading required package: leaps
Loading required package: locfit
locfit 1.5-9.1 	 2013-03-22
Loading required package: mgcv
Loading required package: nlme
This is mgcv 1.8-17. For overview type 'help("mgcv-package")'.
Loading required package: tseries

Attaching package: 'TSA'

The following objects are masked from 'package:stats':

    acf, arima

The following object is masked from 'package:utils':

    tar

TSA documentation built on May 30, 2017, 12:11 a.m.