itsmr (version 1.1)

ia: Estimate MA coefficients using the innovations algorithm

Description

Estimate MA coefficients using the innovations algorithm

Usage

ia(x, q, m = 17)

Arguments

x

Data vector (typically residuals from Resid)

q

MA order

m

Recursion level

Value

• Returns an ARMA model consisting of a list with the following components.
• phi
  0
• theta
  MA coefficients
• sigma2
  White noise variance
• aicc
  Akaike information criterion corrected
• se.phi
  0
• se.theta
  Standard errors for the MA coefficients

Details

Normally m should be set to the default value. The innovations algorithm is used to estimate white noise variance.

See Also

arma burg hannan yw

Examples

xv = c("diff",1)
e = Resid(dowj,xv)
a = ia(e,1)
print(a)