Load package
library(groupedtseries)
#> Loading required package: tseries
Example
library(datasets)
data("EuStockMarkets")
m <- grouped_arma(EuStockMarkets[, 1])
summary(m)
#>
#> Call:
#> grouped_arma(x = EuStockMarkets[, 1])
#>
#> Model:
#> ARMA(1,1)
#>
#> Residuals:
#> Min 1Q Median 3Q Max
#> -229.8672 -11.7200 -0.6021 12.4986 156.8212
#>
#> Coefficient(s):
#> Estimate Std. Error t value Pr(>|t|)
#> ar1 1.0013518 0.0006936 1443.695 <2e-16 ***
#> ma1 -0.0024755 0.0236573 -0.105 0.917
#> intercept -1.3485286 1.9080786 -0.707 0.480
#> ---
#> Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
#>
#> Fit:
#> sigma^2 estimated as 1054, Conditional Sum-of-Squares = 1958190, AIC = 18230.56
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