SARIMA: Create a Seasonal Autoregressive Integrated Moving Average...

In simts: Time Series Analysis Tools

Create a Seasonal Autoregressive Integrated Moving Average (SARIMA) Process

Description

Sets up the necessary backend for the SARIMA process.

Usage

SARIMA(ar = 1, i = 0, ma = 1, sar = 1, si = 0, sma = 1, s = 12, sigma2 = 1)

Arguments

ar	A vector or integer containing either the coefficients for \phi's or the process number p for the Autoregressive (AR) term.
i	An integer containing the number of differences to be done.
ma	A vector or integer containing either the coefficients for \theta's or the process number q for the Moving Average (MA) term.
sar	A vector or integer containing either the coefficients for \Phi's or the process number P for the Seasonal Autoregressive (SAR) term.
si	An integer containing the number of seasonal differences to be done.
sma	A vector or integer containing either the coefficients for \Theta's or the process number Q for the Seasonal Moving Average (SMA) term.
s	An integer containing the seasonality.
sigma2	A double value for the standard deviation, \sigma, of the SARMA process.

Details

A variance is required since the model generation statements utilize randomization functions expecting a variance instead of a standard deviation unlike R.

Value

An S3 object with called ts.model with the following structure:

process.desc

AR*p, MA*q, SAR*P, SMA*Q

theta

\sigma

plength

Number of parameters

desc

Type of model

desc.simple

Type of model (after simplification)

print

String containing simplified model

obj.desc

y desc replicated x times

obj

Depth of Parameters e.g. list(c(length(ar), length(ma), length(sar), length(sma), 1, i, si) )

starting

Guess Starting values? TRUE or FALSE (e.g. specified value)

Author(s)

James Balamuta

Examples

# Create an SARIMA(1,1,2)x(1,0,1) process
SARIMA(ar = 1, i = 1, ma = 2, sar = 1, si = 0, sma =1)

# Creates an SARMA(1,0,1)x(1,1,1) process with predefined coefficients.
SARIMA(ar=0.23, i = 0, ma=0.4, sar = .3,  sma = .3)

simts documentation built on Aug. 31, 2023, 5:07 p.m.