sarima_hannan_rissanen: Estimate ARIMA Model with Hannan-Rissanen method

In palatej/rjd3toolkit: Utility Functions Around 'JDemetra+ 3.0'

Estimate ARIMA Model with Hannan-Rissanen method

Description

Estimate ARIMA Model with Hannan-Rissanen method

Usage

sarima_hannan_rissanen(
  x,
  order = c(0, 0, 0),
  seasonal = list(order = c(0, 0, 0), period = NA),
  initialization = c("Ols", "Levinson", "Burg"),
  biasCorrection = TRUE,
  finalCorrection = TRUE
)

Arguments

x	an univariate time series (TS object).
order	vector specifying of the non-seasonal part of the ARIMA model: the AR order, the degree of differencing, and the MA order.
seasonal	specification of the seasonal part of the ARIMA model and the seasonal frequency (by default equals to frequency(x)). Either a list with components order and period or a numeric vector specifying the seasonal order (the default period is then used).
initialization	Algorithm used in the computation of the long order auto-regressive model (used to estimate the innovations)
biasCorrection	Bias correction
finalCorrection	Final correction as implemented in Tramo

Value

An object of class JD3_SARIMA with the estimated coefficient.

Examples

y <- ABS$X0.2.09.10.M
model<- sarima_hannan_rissanen(y, order = c(0, 1, 1), seasonal = c(0, 1, 1))

palatej/rjd3toolkit documentation built on April 17, 2025, 10:47 p.m.