initial: Initial Parameter Generator for GLARMA from GLM

In glarma: Generalized Linear Autoregressive Moving Average Models

Initial Parameter Generator for GLARMA from GLM

Description

Function used to generate initial values of parameters for the GLARMA model from glm or glm.nb.

Usage

initial(y, X, offset = NULL, type = "Poi", alpha = 1)

Arguments

y	Numeric vector; response variable.
X	Matrix; explanatory variables. A vector of ones should be added to the data matrix as the first column for the \beta of the intercept.
offset	Either NULL or a numeric vector of length equal to the number of cases. Used to specify an a priori known component to be included in the linear predictor during fitting.
type	Character; the distribution of the counts.
alpha	Numeric; an optional initial value for the theta parameter in the negative binomial distribution; the default value is 1.

Details

Generates and returns the initial parameters for the GLARMA model under the specified distribution by fitting a generalized linear model.

Value

beta	A named numeric vector of initial coefficients.
y	If requested, the y vector used.
X	If requested, the model matrix.
alpha	The theta parameter in the negative binomial distribution returned by glm.nb. NULL if any other distribution is used.
type	The distribution of the counts in the GLARMA model.
null.deviance	Null deviance of the GLM with the same regression structure as the GLARMA model.
df.null	Null degrees of freedom of the GLM with the same regression structure as the GLARMA model.

Author(s)

"William T.M. Dunsmuir" <[e-mail]>

Examples

### Using the polio data
data(Polio)
y <- Polio[, 2]
X <- as.matrix(Polio[, 3:8])

glmMod <- initial(y, X, type = "Poi", alpha=1)
str(glmMod)
head(glmMod)

glarma documentation built on April 4, 2025, 12:32 a.m.