pear (version 1.2)

pear-package: Periodic Autoregression Model Fitting

Description

Package for estimating periodic autoregressive models. Datasets: monthly ozone and Fraser riverflow. Plots: periodic versions of boxplot, auto/partial correlations, moving-average expansion.

Details

Package:

pear

Type:

Package

Version:

1.2

Date:

2011-05-18

License:

GPL (>= 2)

LazyLoad:

yes

LazyData:

yes

This package provides a comprehensive approach to fitting perodic autocorrelation models. It was converted to R by Mehmet Balcilar in 2002 from an S-Plus library written by A.I. McLeod and published on Statlib http://lib.stat.cmu.edu/S/. It has been updated and maintained by A.I. McLeod since 2008.

References

Hipel, K.W. and McLeod, A.I. (1994) "Time Series Modelling of Water Resources and Environmental Systems" Elsevier, Amsterdam ISBN 0--444--89270--2. (1013 pages).

McLeod, A.I. (1994), "Diagnostic Checking of Periodic Autoregression" Journal of Time Series Analysis, Vol. 15, No. 2, pp.221--233.

Noakes, D.J., Hipel, K.W. & McLeod, A.I. (1987). Forecasting experiments with annual geophysical time series, The International Journal of Forecasting, V.4, pp.103--115.

See Also

find.ice, Fraser, ozone, peacf, peacf.plot, pear, peboxplot, pepacf, peplot, pepsi

Examples

#We will work with the log flows
data(Fraser)
logFraser <- log(Fraser)
#Example 1. Periodic autocorrelations
#plot and output including portmanteau and periodicity test
#as well as means, sd, autocorrelations
peacf(logFraser)
#
#Example 2. Periodic boxplot
peboxplot(logFraser)
#
#Example 3. Periodic pacf
pepacf(logFraser)
#
#Example 4. Fit pear using BIC
ans<-pepacf(logFraser)
#list output variables
names(ans)
#the model orders selected for each month are:
ans$mbice
#now fit with pear
ans <- pear(logFraser, ic="bic")