ia: Estimate MA coefficients using the innovations algorithm

In itsmr: Time Series Analysis Using the Innovations Algorithm

Estimate MA coefficients using the innovations algorithm

Description

Estimate MA coefficients using the innovations algorithm

Usage

ia(x, q, m = 17)

Arguments

x	Time series data (typically residuals from Resid)
q	MA order
m	Recursion level

Details

Normally m should be set to the default value. The innovations algorithm is used to estimate white noise variance.

Value

Returns an ARMA model consisting of a list with the following components.

phi	0
theta	Vector of MA coefficients (index number equals coefficient subscript)
sigma2	White noise variance
aicc	Akaike information criterion corrected
se.phi	0
se.theta	Standard errors for the MA coefficients

See Also

arma burg hannan yw

Examples

M = c("diff",1)
e = Resid(dowj,M)
a = ia(e,1)
print(a)

itsmr documentation built on Aug. 6, 2022, 9:08 a.m.