sym.arma-package: Autoregressive and Moving Average Symmetric Models

In sym.arma: Autoregressive and Moving Average Symmetric Models

Description

This package provides a set of functions to fitting of autoregressive and moving average symmetric models.

Details

Package: sym.arma

Type: Package

Version: 1.0

Date: 2018-09-23

License: GPL-2

Author(s)

Vinicius Quintas Souto Maior and Francisco Jose A. Cysneiros

Maintainer: Vinicius Quintas Souto Maior <[e-mail]>

References

Maior, V. Q. S. and Cysneiros, F. J. A. (2018). SYMARMA: a new dynamic model for temporal data on conditional symmetric distribution. Statitical Paper, 59, 75-97. doi: 10.1007/s00362-016-0753-z.

Wei, W. W. S. (2006). Time Series Analysis: Univariate and Multivariate Methods, 2nd edition. Pearson Addison Wesley. Section 7.2.1.

Efron, B. and Tibshirani, R. (1993). An Introduction to the Bootstrap. Chapman and Hall, New York, London.

Thode, Henry C. (2002). Testing for normality, New York: Marcel Dekker.

Cook, R.D. (1986). Assessment of local influence (with discussion). Journal of the Royal Statistical Society, B 48, 133-169.

Examples

library(sym.arma)
data(assets)
fit <-  elliptical.ts(assets$msf[2122:2240],order=c(1,0,0),trace=TRUE)
qqplot(fit,envelope=FALSE)

Example output

Attaching package: 'sym.arma'

The following objects are masked from 'package:stats':

    influence, predict, qqplot

                               
Call:                          
symarma(1,0,0) - family: Normal
             
Coefficients:
          Estimate Std. Error
intercept  24.7654     0.7829
ar1         0.9052     0.0408
                                                      
Varphi estimated: 0.5941  (Std. Error: 0.0773)        
Log-likelihood: -136.71                               
RMSE: 0.03                                            
Number of iterations in Fisher scoring optimization: 1
                                                      

sym.arma documentation built on May 2, 2019, 8:30 a.m.