Package for estimating periodic autoregressive models. Datasets: monthly ozone and Fraser riverflow. Plots: periodic versions of boxplot, auto/partial correlations, moving-average expansion.
|License:||GPL (>= 2)|
This package provides a comprehensive approach to fitting perodic autocorrelation models. It was converted to R by Mehmet Balcilar in 2002 from an S-Plus library written by A.I. McLeod and published on Statlib http://lib.stat.cmu.edu/S/. It has been updated and maintained by A.I. McLeod since 2008.
Hipel, K.W. and McLeod, A.I. (1994) "Time Series Modelling of Water Resources and Environmental Systems" Elsevier, Amsterdam ISBN 0–444–89270–2. (1013 pages).
McLeod, A.I. (1994), "Diagnostic Checking of Periodic Autoregression" Journal of Time Series Analysis, Vol. 15, No. 2, pp.221–233.
Noakes, D.J., Hipel, K.W. & McLeod, A.I. (1987). Forecasting experiments with annual geophysical time series, The International Journal of Forecasting, V.4, pp.103–115.
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#We will work with the log flows data(Fraser) logFraser <- log(Fraser) #Example 1. Periodic autocorrelations #plot and output including portmanteau and periodicity test #as well as means, sd, autocorrelations peacf(logFraser) # #Example 2. Periodic boxplot peboxplot(logFraser) # #Example 3. Periodic pacf pepacf(logFraser) # #Example 4. Fit pear using BIC ans<-pepacf(logFraser) #list output variables names(ans) #the model orders selected for each month are: ans$mbice #now fit with pear ans <- pear(logFraser, ic="bic")
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