arima2 (version 3.3.0)

profile.Arima2: Profile for Arima2 object

Description

This function performs profile log-likelihood of an Arima2 function.

Usage

# S3 method for Arima2
profile(
  fitted,
  d = 0,
  npts = 100L,
  lower = -1,
  upper = 1,
  which = 1L,
  max_iters = 1,
  ...
)

Value

data.frame object containing the results of the profile likelihood.

Arguments

fitted

An Arima2 object that has been fit to data.

d

Integer number of differences. Should match the differences used to obtain the fitted object.

npts

Integer number of points to evaluate the profile.

lower

Numeric lower bound for the profile search.

upper

Numeric upper bound for the profile search.

which

Integer indicating which parameter to perform the profile over. See Details section for more information.

max_iters

Maximum number of random restarts. See arima for more details.

...

additional arguments needed for the profile function

Details

The parameter which specifies parameter in the following vector will be profiled over: $$\phi_1, \ldots, \phi_p, \theta_1, \ldots, \theta_q, \Phi_1, \ldots, \Phi_P, \Theta_1, \ldots, \Theta_Q, \mu$$ where \(p, q\) are non-negative integers representing the number of AR and MA coefficients of fitted, respectively, and \(\phi_i\) are the AR coefficients, \(\theta_i\) are the MA coefficients, \(\Phi_i\) are the seasonal AR coefficients, \(\Theta_i\) are the seasonal MA coefficients and \(\mu\) is the model intercept.

Examples

# example code
set.seed(123)
mod <- arima(miHuron_level$Average, order = c(1, 0, 1), max_iters = 100)
prof <- profile(mod, which = 2L, lower = -0.5, upper = 0.5)
plot(prof$ma1, prof$loglik)