itsmr (version 1.1)

arma: Estimate ARMA model coefficients using maximum likelihood

Description

Estimate ARMA model coefficients using maximum likelihood

Usage

arma(x, p = 0, q = 0)

Arguments

x

Data vector

p

AR order

q

MA order

Value

• Returns an ARMA model consisting of a list with the following components.
• phi
  AR coefficients
• theta
  MA coefficients
• sigma2
  White noise variance
• aicc
  Akaike information criterion corrected
• se.phi
  Standard errors for the AR coefficients
• se.theta
  Standard errors for the MA coefficients

Details

Calls the standard R function arima to estimate AR and MA coefficients. The innovations algorithm is used to estimate white noise variance.

See Also

autofit burg hannan ia yw

Examples

xv = c("diff",1)
e = Resid(dowj,xv)
a = arma(e,1,0)
print(a)