armodel: Create an AR model object

In AkselA/R-ymse: Ymse (Various)

Description

Specify the characteristics of an AR model

Usage

armodel(coefs, mean = 0, intercept = 0, var.pred = 1,
  frequency = 1, x.name = "Synthetic AR model")

Arguments

coefs	a vector of model coefficients
mean	the mean of the process
intercept	the intercept in the model
var.pred	the portion of the variance not explained by this model
frequency	the sampling frequency of the process
x.name	name of the series

See Also

arimpulse

Examples

# short decay
ar.mod <- armodel(c(0.5))
arimpulse(ar.mod, pulse=1)

# long decay
ar.mod <- armodel(c(0.8))
arimpulse(ar.mod, pulse=1)

# negative second coefficient reduce damping, signal returns to normal 
# more quickly
ar.mod <- armodel(c(0.8, -0.1))
arimpulse(ar.mod, pulse=1)

# second coefficient reduce damping too much, overdamping, oscillations
ar.mod <- armodel(c(0.8, -0.5))
arimp <- arimpulse(ar.mod, pulse=1, n.ahead=40)$pred
polyroot(c(1, -ar.mod$ar)) # complex conjugate roots
acf(arimp) # period ~= 6?
phi1 <- ar.mod$ar[1]
phi2 <- ar.mod$ar[2]
f <- (1/(2*pi)) * acos((phi1*(phi2-1))/(4*phi2))
1/f # period = 6.78
sp <- spec.ar(ar.mod, plot=FALSE)
1/sp$freq[which.max(sp$spec)] # period = 6.79

# decaying oscillations
ar.mod1 <- armodel(c(0.8, -0.6, -0.5, 0.2, -0.2))
arimpulse(ar.mod1, n.ahead=100)
Mod(1/polyroot(c(1, -ar.mod1$ar))) # barely inside the unit circle

# growing oscillations
ar.mod2 <- armodel(c(0.8, -0.7, -0.5, 0.2, -0.2))
arimpulse(ar.mod2, n.ahead=100)
Mod(1/polyroot(c(1, -ar.mod2$ar))) # barely outside the unit circle

ar.mod3 <- armodel(c(1.8, -1.1, 0.2, -0.2, 0.2))
arimpulse(ar.mod3, n.ahead=100)
spec.ar(ar.mod3)

resid(arfit(rnorm(10), armodel(c(0.5, -0.1), frequency=2)))

AkselA/R-ymse documentation built on March 21, 2020, 9:52 a.m.