set_arima: Set ARIMA Specification

In palatej/rjd3modelling: Time Series Modelling Functions with 'JDemetra+ 3.0'

Set ARIMA Specification

Description

Function to set the ARIMA model when the automatic modelling is disabled.

Usage

set_arima(
  x,
  mean = NA,
  mean.type = c(NA, "Undefined", "Fixed", "Initial"),
  p = NA,
  d = NA,
  q = NA,
  bp = NA,
  bd = NA,
  bq = NA,
  coef = NA,
  coef.type = c(NA, "Undefined", "Fixed", "Initial")
)

Arguments

x	the specification.
mean	to set the coefficient of the mean. If mean = 0, the mean is disabled.
mean.type	a character defining the mean coefficient estimation procedure. Possible procedures are: "Undefined" = no use of any user-defined input (i.e. coefficients are estimated), "Fixed" = the coefficients are fixed at the value provided by the user, "Initial" = the value defined by the user is used as the initial condition.
p, d, q, bp, bd, bq	to specify the order of the SARIMA model in the form ARIMA(p,d,q)(bp,bd,bd).
coef	a vector providing the coefficients for the regular and seasonal AR and MA polynominals. The vector length must be equal to the sum of the regular and seasonal AR and MA orders. The coefficients shall be provided in the following order: regular AR (Phi; p elements), regular MA (Theta; q elements), seasonal AR (BPhi; bp elements) and seasonal MA (BTheta; bq elements). E.g.: arima.coef=c(0.6,0.7) with p=1, q=0,bp=1 and bq=0.
coef.type	a vector defining the ARMA coefficients estimation procedure. Possible procedures are: "Undefined" = no use of any user-defined input (i.e. coefficients are estimated), "Fixed" = the coefficients are fixed at the value provided by the user, "Initial" = the value defined by the user is used as the initial condition.

palatej/rjd3modelling documentation built on Jan. 3, 2023, 10:19 p.m.