artfima (version 1.3)

artfima: MLE for ARTFIMA model

Description

Maximum likelihood estimation of the ARTFIMA model as well as the edge cases ARIMA and ARFIMA. Exact MLE and Whittle approximate MLE are implemented.

Usage

artfima(z, glp = c("ARTFIMA", "ARFIMA", "ARIMA"), arimaOrder = c(0, 0, 0), 
  likAlg = c("exact", "Whittle"),  fixd = NULL)

Arguments

z

time series data

glp

general linear process type: ARTFIMA, ARFIMA or ARMA.

arimaOrder

c(p,D,q), where p is the AR order, D is the regular difference parameter and q is the MA order.

likAlg

either "exact" or "Whittle"

fixd

only used with ARTFIMA, default setting fixd=NULL means the MLE for the parameter d is obtained other if fixed=d0, where d0 is a numeric value in the interval (-2, 2) the d parameter in ARTFIMA is fixed at this value while the remaining paramete

Value

• A lengthy list is produced. A terse summary is provided by the associated print method.

Details

The ARFIMA and ARIMA are subsets or edge-cases of the ARTFIMA model. The likelihood and probability density function for these models is defined by the multivariate normal distribution. The log-likelihood, AIC and BIC are comparable across models. When the Whittle MLE algorithm is used, the final log-likelihood is obtained by plugging this estimates into the exact log-likelihood.

References

TBA

See Also

bestModels

Examples

artfima(Nile)
artfima(Nile, likAlg = "exact")