Fits independent arima series to x, a multivariate
time series.
iarima(x, order = NULL, include.constant = TRUE, ...)numeric matrix with a multivariate time series. Series are arranged in rows with columns representing time.
an optional matrix with one row per time series
specifying the ARIMA models: for the ith row the three
components \((p, d, q)\) are the AR order, the degree of
differencing, and the MA order. If absent the arima models
are fitted using auto.arima.
an optional vector of logical values
indicating if the ARIMA model for the ith series should include a
constant value. The default is TRUE. This parameter is ignored
if order is NULL.
additional parameters for auto.arima
an object of class "iarima" with components:
a list with the arima models fitted to each time series.
the original time series.
The fitting of the ARIMA models for each time series is done with
function Arima from package
forecast. See the latter function for further details on
input arguments kt.order and kt.include.constant.