ar
Fit Autoregressive Models to Time Series
Fit an autoregressive time series model to the data, by default selecting the complexity by AIC.
- Keywords
- ts
Usage
ar(x, aic = TRUE, order.max = NULL,
method = c("yule-walker", "burg", "ols", "mle", "yw"),
na.action, series, ...)ar.burg(x, ...)
## S3 method for class 'default':
ar.burg(x, aic = TRUE, order.max = NULL,
na.action = na.fail, demean = TRUE, series,
var.method = 1, \dots)
## S3 method for class 'mts':
ar.burg(x, aic = TRUE, order.max = NULL,
na.action = na.fail, demean = TRUE, series,
var.method = 1, \dots)
ar.yw(x, ...)
## S3 method for class 'default':
ar.yw(x, aic = TRUE, order.max = NULL,
na.action = na.fail, demean = TRUE, series, \dots)
## S3 method for class 'mts':
ar.yw(x, aic = TRUE, order.max = NULL,
na.action = na.fail, demean = TRUE, series,
var.method = 1, \dots)
ar.mle(x, aic = TRUE, order.max = NULL, na.action = na.fail,
demean = TRUE, series, ...)
## S3 method for class 'ar':
predict(object, newdata, n.ahead = 1, se.fit = TRUE, \dots)
Arguments
- x
- A univariate or multivariate time series.
- aic
- Logical flag. If
TRUE
then the Akaike Information Criterion is used to choose the order of the autoregressive model. IfFALSE
, the model of orderorder.max
is fitted. - order.max
- Maximum order (or order) of model to fit. Defaults
to the smaller of $N-1$ and $10\log_{10}(N)$
where $N$ is the number of observations
except for
method = "mle"
where it is the minimum of this quantity and 12. - method
- Character string giving the method used to fit the
model. Must be one of the strings in the default argument
(the first few characters are sufficient). Defaults to
"yule-walker"
. - na.action
- function to be called to handle missing values.
- demean
- should a mean be estimated during fitting?
- series
- names for the series. Defaults to
deparse(substitute(x))
. - var.method
- the method to estimate the innovations variance
(see
Details ). - ...
- additional arguments for specific methods.
- object
- a fit from
ar
. - newdata
- data to which to apply the prediction.
- n.ahead
- number of steps ahead at which to predict.
- se.fit
- logical: return estimated standard errors of the prediction error?
Details
For definiteness, note that the AR coefficients have the sign in
$$x_t - \mu = a_1(x_{t-1} - \mu) + \cdots + a_p(x_{t-p} - \mu) + e_t$$
ar
is just a wrapper for the functions ar.yw
,
ar.burg
, ar.ols
and ar.mle
.
Order selection is done by AIC if aic
is true. This is
problematic, as of the methods here only ar.mle
performs
true maximum likelihood estimation. The AIC is computed as if the variance
estimate were the MLE, omitting the determinant term from the
likelihood. Note that this is not the same as the Gaussian likelihood
evaluated at the estimated parameter values. In ar.yw
the
variance matrix of the innovations is computed from the fitted
coefficients and the autocovariance of x
.
ar.burg
allows two methods to estimate the innovations
variance and hence AIC. Method 1 is to use the update given by
the Levinson-Durbin recursion (Brockwell and Davis, 1991, (8.2.6)
on page 242), and follows S-PLUS. Method 2 is the mean of the sum
of squares of the forward and backward prediction errors
(as in Brockwell and Davis, 1996, page 145). Percival and Walden
(1998) discuss both. In the multivariate case the estimated
coefficients will depend (slightly) on the variance estimation method.
Remember that ar
includes by default a constant in the model, by
removing the overall mean of x
before fitting the AR model,
or (ar.mle
) estimating a constant to subtract.
Value
- For
ar
and its methods a list of class"ar"
with the following elements: order The order of the fitted model. This is chosen by minimizing the AIC if aic = TRUE
, otherwise it isorder.max
.ar Estimated autoregression coefficients for the fitted model. var.pred The prediction variance: an estimate of the portion of the variance of the time series that is not explained by the autoregressive model. x.mean The estimated mean of the series used in fitting and for use in prediction. x.intercept ( ar.ols
only.) The intercept in the model forx - x.mean
.aic The differences in AIC between each model and the best-fitting model. Note that the latter can have an AIC of -Inf
.n.used The number of observations in the time series. order.max The value of the order.max
argument.partialacf The estimate of the partial autocorrelation function up to lag order.max
.resid residuals from the fitted model, conditioning on the first order
observations. The firstorder
residuals are set toNA
. Ifx
is a time series, so isresid
.method The value of the method
argument.series The name(s) of the time series. frequency The frequency of the time series. call The matched call. asy.var.coef (univariate case, order > 0
.) The asymptotic-theory variance matrix of the coefficient estimates.- For
predict.ar
, a time series of predictions, or ifse.fit = TRUE
, a list with componentspred
, the predictions, andse
, the estimated standard errors. Both components are time series.
Note
Only the univariate case of ar.mle
is implemented.
Fitting by method="mle"
to long series can be very slow.
concept
autoregression
References
Brockwell, P. J. and Davis, R. A. (1991) Time Series and Forecasting Methods. Second edition. Springer, New York. Section 11.4.
Brockwell, P. J. and Davis, R. A. (1996) Introduction to Time Series and Forecasting. Springer, New York. Sections 5.1 and 7.6.
Percival, D. P. and Walden, A. T. (1998) Spectral Analysis for Physical Applications. Cambridge University Press.
Whittle, P. (1963) On the fitting of multivariate autoregressions and the approximate canonical factorization of a spectral density matrix. Biometrika 40, 129--134.
See Also
ar.ols
, arima
for ARMA models;
acf2AR
, for AR construction from the ACF.
arima.sim
for simulation of AR processes.
Examples
library(stats)
ar(lh)
ar(lh, method = "burg")
ar(lh, method = "ols")
ar(lh, FALSE, 4) # fit ar(4)
(sunspot.ar <- ar(sunspot.year))
predict(sunspot.ar, n.ahead = 25)
## try the other methods too
ar(ts.union(BJsales, BJsales.lead))
## Burg is quite different here, as is OLS (see ar.ols)
ar(ts.union(BJsales, BJsales.lead), method = "burg")