arma | R Documentation |
Estimate ARMA model coefficients using maximum likelihood
arma(x, p = 0, q = 0)
x |
Time series data |
p |
AR order |
q |
MA order |
Calls the standard R function arima
to estimate AR and MA coefficients.
The innovations algorithm is used to estimate white noise variance.
Returns an ARMA model consisting of a list with the following components.
phi |
Vector of AR coefficients (index number equals coefficient subscript) |
theta |
Vector of MA coefficients (index number equals coefficient subscript) |
sigma2 |
White noise variance |
aicc |
Akaike information criterion corrected |
se.phi |
Standard errors for the AR coefficients |
se.theta |
Standard errors for the MA coefficients |
autofit
burg
hannan
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yw
M = c("diff",1) e = Resid(dowj,M) a = arma(e,1,0) print(a)
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