# arima

##### ARIMA Modelling of Time Series

Fit an ARIMA model to a univariate time series.

- Keywords
- ts

##### Usage

```
arima(x, order = c(0L, 0L, 0L),
seasonal = list(order = c(0L, 0L, 0L), period = NA),
xreg = NULL, include.mean = TRUE,
transform.pars = TRUE,
fixed = NULL, init = NULL,
method = c("CSS-ML", "ML", "CSS"), n.cond,
SSinit = c("Gardner1980", "Rossignol2011"),
optim.method = "BFGS",
optim.control = list(), kappa = 1e6)
```

##### Arguments

- x
- a univariate time series
- order
- A specification of the non-seasonal part of the ARIMA model: the three integer components \((p, d, q)\) are the AR order, the degree of differencing, and the MA order.
- seasonal
- A specification of the seasonal part of the ARIMA
model, plus the period (which defaults to
`frequency(x)`

). This should be a list with components`order`

and`period`

, but a specification of just a numeric vector of length 3 will be turned into a suitable list with the specification as the`order`

. - xreg
- Optionally, a vector or matrix of external regressors,
which must have the same number of rows as
`x`

. - include.mean
- Should the ARMA model include a mean/intercept term? The
default is
`TRUE`

for undifferenced series, and it is ignored for ARIMA models with differencing. - transform.pars
- logical; if true, the AR parameters are
transformed to ensure that they remain in the region of
stationarity. Not used for
`method = "CSS"`

. For`method = "ML"`

, it has been advantageous to set`transform.pars = FALSE`

in some cases, see also`fixed`

. - fixed
- optional numeric vector of the same length as the total
number of parameters. If supplied, only
`NA`

entries in`fixed`

will be varied.`transform.pars = TRUE`

will be overridden (with a warning) if any AR parameters are fixed. It may be wise to set`transform.pars = FALSE`

when fixing MA parameters, especially near non-invertibility. - init
- optional numeric vector of initial parameter
values. Missing values will be filled in, by zeroes except for
regression coefficients. Values already specified in
`fixed`

will be ignored. - method
- fitting method: maximum likelihood or minimize conditional sum-of-squares. The default (unless there are missing values) is to use conditional-sum-of-squares to find starting values, then maximum likelihood. Can be abbreviated.
- n.cond
- only used if fitting by conditional-sum-of-squares: the number of initial observations to ignore. It will be ignored if less than the maximum lag of an AR term.
- SSinit
- a string specifying the algorithm to compute the
state-space initialization of the likelihood; see
`KalmanLike`

for details. Can be abbreviated. - optim.method
- The value passed as the
`method`

argument to`optim`

. - optim.control
- List of control parameters for
`optim`

. - kappa
- the prior variance (as a multiple of the innovations variance) for the past observations in a differenced model. Do not reduce this.

##### Details

Different definitions of ARMA models have different signs for the
AR and/or MA coefficients. The definition used here has $$X_t= a_1X_{t-1}+ \cdots+ a_pX_{t-p} + e_t + b_1e_{t-1}+\cdots+ b_qe_{t-q}
$$ and so the MA coefficients differ in sign from those of S-PLUS.
Further, if `include.mean`

is true (the default for an ARMA
model), this formula applies to \(X - m\) rather than \(X\). For
ARIMA models with differencing, the differenced series follows a
zero-mean ARMA model. If am `xreg`

term is included, a linear
regression (with a constant term if `include.mean`

is true and
there is no differencing) is fitted with an ARMA model for the error
term. The variance matrix of the estimates is found from the Hessian of
the log-likelihood, and so may only be a rough guide. Optimization is done by `optim`

. It will work
best if the columns in `xreg`

are roughly scaled to zero mean
and unit variance, but does attempt to estimate suitable scalings.

##### Value

A list of class `"Arima"`

with components:

`coef`

method.`coef`

, which can be extracted by the `vcov`

method.`method = "ML"`

fits.`x`

.`optim`

.`nobs()`

and is used by
`BIC`

.`KalmanLike`

.##### Note

The results are likely to be different from S-PLUS's
`arima.mle`

, which computes a conditional likelihood and does
not include a mean in the model. Further, the convention used by
`arima.mle`

reverses the signs of the MA coefficients. `arima`

is very similar to `arima0`

for
ARMA models or for differenced models without missing values,
but handles differenced models with missing values exactly.
It is somewhat slower than `arima0`

, particularly for seasonally
differenced models.

##### Fitting methods

The exact likelihood is computed via a state-space representation of
the ARIMA process, and the innovations and their variance found by a
Kalman filter. The initialization of the differenced ARMA process uses
stationarity and is based on Gardner *et al* (1980). For a
differenced process the non-stationary components are given a diffuse
prior (controlled by `kappa`

). Observations which are still
controlled by the diffuse prior (determined by having a Kalman gain of
at least `1e4`

) are excluded from the likelihood calculations.
(This gives comparable results to `arima0`

in the absence
of missing values, when the observations excluded are precisely those
dropped by the differencing.) Missing values are allowed, and are handled exactly in method `"ML"`

. If `transform.pars`

is true, the optimization is done using an
alternative parametrization which is a variation on that suggested by
Jones (1980) and ensures that the model is stationary. For an AR(p)
model the parametrization is via the inverse tanh of the partial
autocorrelations: the same procedure is applied (separately) to the
AR and seasonal AR terms. The MA terms are not constrained to be
invertible during optimization, but they will be converted to
invertible form after optimization if `transform.pars`

is true. Conditional sum-of-squares is provided mainly for expositional
purposes. This computes the sum of squares of the fitted innovations
from observation `n.cond`

on, (where `n.cond`

is at least
the maximum lag of an AR term), treating all earlier innovations to
be zero. Argument `n.cond`

can be used to allow comparability
between different fits. The ‘part log-likelihood’ is the first
term, half the log of the estimated mean square. Missing values
are allowed, but will cause many of the innovations to be missing. When regressors are specified, they are orthogonalized prior to
fitting unless any of the coefficients is fixed. It can be helpful to
roughly scale the regressors to zero mean and unit variance.

##### References

Brockwell, P. J. and Davis, R. A. (1996) *Introduction to Time
Series and Forecasting.* Springer, New York. Sections 3.3 and 8.3. Durbin, J. and Koopman, S. J. (2001) *Time Series Analysis by
State Space Methods.* Oxford University Press. Gardner, G, Harvey, A. C. and Phillips, G. D. A. (1980) Algorithm
AS154. An algorithm for exact maximum likelihood estimation of
autoregressive-moving average models by means of Kalman filtering.
*Applied Statistics* **29**, 311--322. Harvey, A. C. (1993) *Time Series Models*,
2nd Edition, Harvester Wheatsheaf, sections 3.3 and 4.4. Jones, R. H. (1980) Maximum likelihood fitting of ARMA models to time
series with missing observations. *Technometrics* **22** 389--395. Ripley, B. D. (2002) Time series in R 1.5.0.
*R News*, **2/2**, 2--7.
https://www.r-project.org/doc/Rnews/Rnews_2002-2.pdf

##### See Also

`predict.Arima`

, `arima.sim`

for simulating
from an ARIMA model, `tsdiag`

, `arima0`

,
`ar`

##### Examples

`library(stats)`

```
arima(lh, order = c(1,0,0))
arima(lh, order = c(3,0,0))
arima(lh, order = c(1,0,1))
arima(lh, order = c(3,0,0), method = "CSS")
arima(USAccDeaths, order = c(0,1,1), seasonal = list(order = c(0,1,1)))
arima(USAccDeaths, order = c(0,1,1), seasonal = list(order = c(0,1,1)),
method = "CSS") # drops first 13 observations.
# for a model with as few years as this, we want full ML
arima(LakeHuron, order = c(2,0,0), xreg = time(LakeHuron) - 1920)
## presidents contains NAs
## graphs in example(acf) suggest order 1 or 3
require(graphics)
(fit1 <- arima(presidents, c(1, 0, 0)))
nobs(fit1)
tsdiag(fit1)
(fit3 <- arima(presidents, c(3, 0, 0))) # smaller AIC
tsdiag(fit3)
BIC(fit1, fit3)
## compare a whole set of models; BIC() would choose the smallest
AIC(fit1, arima(presidents, c(2,0,0)),
arima(presidents, c(2,0,1)), # <- chosen (barely) by AIC
fit3, arima(presidents, c(3,0,1)))
## An example of ARIMA forecasting:
predict(fit3, 3)
```

*Documentation reproduced from package stats, version 3.3.3, License: Part of R 3.3.3*