NTS (version 1.1.3)

ACMx: Estimation of Autoregressive Conditional Mean Models

Description

Estimation of autoregressive conditional mean models with exogenous variables.

Usage

ACMx(y, order = c(1, 1), X = NULL, cond.dist = "po", ini = NULL)

Value

ACMx returns a list with components:

data

time series.

X

matrix of exogenous variables.

estimates

estimated values.

residuals

residuals.

sresi

standardized residuals.

Arguments

y

time series of counts.

order

the order of ACM model.

X

matrix of exogenous variables.

cond.dist

conditional distributions. "po" for Poisson, "nb" for negative binomial, "dp" for double Poisson.

ini

initial parameter estimates designed for use in "nb" and "dp".

Examples

x=rnorm(1000)*0.1
y=matrix(0,1000,1)
y[1]=2
lambda=matrix(0,1000,1)
for (i in 2:1000){
	lambda[i]=2+0.2*y[i-1]/exp(x[i-1])+0.5*lambda[i-1]
	y[i]=rpois(1,exp(x[i])*lambda[i])
}
ACMx(y,order=c(1,1),x,"po")