SARIMA: Create a Seasonal Autoregressive Integrated Moving Average...
In SMAC-Group/simts: Time Series Analysis Tools

SARIMA

R Documentation

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)

SMAC-Group/simts documentation built on Sept. 4, 2023, 5:25 a.m.