pear-package: Periodic Autoregression Model Fitting

In pear: Package for Periodic Autoregression Analysis

Description

Package for estimating periodic autoregressive models. Datasets: monthly ozone and Fraser riverflow. Plots: periodic versions of boxplot, auto/partial correlations, moving-average expansion.

Details

Package:	pear
Type:	Package
Version:	1.2
Date:	2011-05-18
License:	GPL (>= 2)
LazyLoad:	yes
LazyData:	yes

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.

Author(s)

A. I. McLeod <[e-mail]> and Mehmet Balcilar <[e-mail]>. Maintainer: [e-mail]

References

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.

See Also

find.ice, Fraser, ozone, peacf, peacf.plot, pear, peboxplot, pepacf, peplot, pepsi

Examples

#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")

pear documentation built on May 2, 2019, 9:16 a.m.