itsmr (version 1.1)

hannan: Estimate ARMA coefficients using the Hannan-Rissanen algorithm

Description

Estimate ARMA coefficients using the Hannan-Rissanen algorithm

Usage

hannan(x, p, q)

Arguments

x

Data vector (typically residuals from Resid)

p

AR order

q

MA order (q > 0)

Value

• Returns an ARMA model consisting of a list with the following components.
• phi
  AR coefficients
• theta
  MA coefficients
• sigma2
  White noise variance
• aicc
  Akaike information criterion corrected
• se.phi
  Standard errors for the AR coefficients
• se.theta
  Standard errors for the MA coefficients

Details

The innovations algorithm is used to estimate white noise variance.

See Also

arma burg ia yw

Examples

xv = c("diff",12)
e = Resid(deaths,xv)
a = hannan(e,1,1)
print(a)