profile.Arima2: Profile for 'Arima2' object

In arima2: Likelihood Based Inference for ARIMA Modeling

Profile for Arima2 object

Description

This function performs profile log-likelihood of an Arima2 function.

Usage

## S3 method for class 'Arima2'
profile(
  fitted,
  d = 0,
  npts = 100L,
  lower = -1,
  upper = 1,
  which = 1L,
  max_iters = 1,
  ...
)

Arguments

fitted	An Arima2 object that has been fit to data.
d	Integer number of differences. Should match the differences used to obtain the fitted object.
npts	Integer number of points to evaluate the profile.
lower	Numeric lower bound for the profile search.
upper	Numeric upper bound for the profile search.
which	Integer indicating which parameter to perform the profile over. See Details section for more information.
max_iters	Maximum number of random restarts. See arima for more details.
...	additional arguments needed for the profile function

Details

The parameter which specifies parameter in the following vector will be profiled over:

\phi_1, \ldots, \phi_p, \theta_1, \ldots, \theta_q, \Phi_1, \ldots, \Phi_P, \Theta_1, \ldots, \Theta_Q, \mu

where p, q are non-negative integers representing the number of AR and MA coefficients of fitted, respectively, and \phi_i are the AR coefficients, \theta_i are the MA coefficients, \Phi_i are the seasonal AR coefficients, \Theta_i are the seasonal MA coefficients and \mu is the model intercept.

Value

data.frame object containing the results of the profile likelihood.

Examples

# example code
set.seed(123)
mod <- arima(miHuron_level$Average, order = c(1, 0, 1), max_iters = 100)
prof <- profile(mod, which = 2L, lower = -0.5, upper = 0.5)
plot(prof$ma1, prof$loglik)

arima2 documentation built on Sept. 11, 2024, 7:49 p.m.