um: Univariate (ARIMA) model

In gallegoj/tfarima: Transfer Function and ARIMA Models

Univariate (ARIMA) model

Description

um creates an S3 object representing a univariate ARIMA model, which can contain multiple AR, I and MA polynomials, as well as parameter restrictions.

Usage

um(
  z = NULL,
  ar = NULL,
  i = NULL,
  ma = NULL,
  mu = NULL,
  sig2 = 1,
  bc = FALSE,
  fit = TRUE,
  envir = parent.frame(),
  warn = TRUE,
  ...
)

Arguments

z	an object of class ts.
ar	list of stationary AR lag polynomials.
i	list of nonstationary AR (I) polynomials.
ma	list of MA polynomials.
mu	mean of the stationary time series.
sig2	variance of the error.
bc	logical. If TRUE logs are taken.
fit	logical. If TRUE, model is fitted.
envir	the environment in which to look for the time series z when it is passed as a character string.
warn	logical. If TRUE, a warning is displayed for non-admissible models.
...	additional arguments.

Value

An object of class um.

References

Box, G.E.P., Jenkins, G.M., Reinsel, G.C. and Ljung, G.M. (2015) Time Series Analysis: Forecasting and Control. John Wiley & Sons, Hoboken.

Examples

ar1 <- um(ar = "(1 - 0.8B)")
ar2 <- um(ar = "(1 - 1.4B + 0.8B^2)")
ma1 <- um(ma = "(1 - 0.8B)")
ma2 <- um(ma = "(1 - 1.4B + 0.8B^2)")
arma11 <- um(ar = "(1 - 1.4B + 0.8B^2)", ma = "(1 - 0.8B)")

gallegoj/tfarima documentation built on March 31, 2024, 10:32 a.m.