armafit2: Scalar ARMA Model Fitting

In TSSS: Time Series Analysis with State Space Model

Scalar ARMA Model Fitting

Description

Estimate all ARMA models within the user-specified maximum order by maximum likelihood method.

Usage

armafit2(y, ar.order, ma.order)

Arguments

y	a univariate time series.
ar.order	maximum AR order.
ma.order	maximum MA order.

Value

aicmin	minimum AIC.
maice.order	AR and MA orders of minimum AIC model.
sigma2	innovation variance of all models.
llkhood	log-likelihood of all models.
aic	AIC of all models.
coef	AR and MA coefficients of all models.

References

Kitagawa, G. (2020) Introduction to Time Series Modeling with Applications in R. Chapman & Hall/CRC.

Examples

# Sunspot number data
data(Sunspot)
y <- log10(Sunspot)
armafit2(y, ar.order = 5, ma.order = 5)

TSSS documentation built on Sept. 29, 2023, 9:07 a.m.