TSSS (version 1.2.3)

armafit: Scalar ARMA Model Fitting

Description

Fit a scalar ARMA model by maximum likelihood method.

Usage

armafit(y, ar.order, ar = NULL, ma.order, ma = NULL)

Arguments

y

a univariate time series.

ar.order

AR order.

ar

initial AR coefficients. If NULL (default), use default initial values.

ma.order

MA order.

ma

initial MA coefficients. If NULL (default), use default initial values.

Value

sigma2

innovation variance.

llkhood

log-likelihood of the model.

aic

AIC of the model.

arcoef

AR coefficients.

macoef

MA coefficients.

References

Kitagawa, G. (2010) Introduction to Time Series Modeling. Chapman & Hall/CRC.

Examples

# NOT RUN {
# Sun spot number data
data(Sunspot)
y <- log10(Sunspot)
z1 <- armafit(y, ar.order = 3, ma.order = 3)
z1

nd <- length(y)
armaimp(arcoef = z1$arcoef, macoef = z1$macoef, v = z1$sigma2, n = nd, lag = 20)
# }

Run the code above in your browser using DataCamp Workspace