tfarima (version 0.4.1)

um: Univariate (ARIMA) model

Description

um creates an S3 object representing a univariate ARIMA model, which can contain multiple AR, I and MA polynomials, as well as parameter restrictions.

Usage

um(
  z = NULL,
  ar = NULL,
  i = NULL,
  ma = NULL,
  mu = NULL,
  sig2 = 1,
  bc = FALSE,
  fit = TRUE,
  envir = parent.frame(),
  warn = TRUE,
  ...
)

Value

An object of class um.

Arguments

z

an object of class ts.

ar

list of stationary AR lag polynomials.

i

list of nonstationary AR (I) polynomials.

ma

list of MA polynomials.

mu

mean of the stationary time series.

sig2

variance of the error.

bc

logical. If TRUE logs are taken.

fit

logical. If TRUE, model is fitted.

envir

the environment in which to look for the time series z when it is passed as a character string.

warn

logical. If TRUE, a warning is displayed for non-admissible models.

...

additional arguments.

References

Box, G.E.P., Jenkins, G.M., Reinsel, G.C. and Ljung, G.M. (2015) Time Series Analysis: Forecasting and Control. John Wiley & Sons, Hoboken.

Examples

ar1 <- um(ar = "(1 - 0.8B)")
ar2 <- um(ar = "(1 - 1.4B + 0.8B^2)")
ma1 <- um(ma = "(1 - 0.8B)")
ma2 <- um(ma = "(1 - 1.4B + 0.8B^2)")
arma11 <- um(ar = "(1 - 1.4B + 0.8B^2)", ma = "(1 - 0.8B)")