powered by
This function calculates ML estimates, computes residuals (using backcasting), estimates white noise variance for a stationary ARMA model
est.arma.wge(x, p = 0, q = 0, factor = TRUE)
ML estimates of autoregressive parameters
ML estimates of moving average parameters
Residuals (calculated using backcasting)
Estimate of white noise variance based on backcast residuals
Standard errors of the AR parameter estimates
Standard errors of the MA parameter estimates
AIC for estimated model
AICC for estimated model
BIC for estimated model
The realization.
The autoregressive order
the moving average order
Logical variable. factor=TRUE (default) plots a factor table for estimated AR-part of model
Wayne Woodward
This function uses arima from base SAS and is written similarly to itsmr function arma
"Applied Time Series Analysis with R, 2nd edition" by Woodward, Gray, and Elliott
data(fig6.2nf) est.arma.wge(fig6.2nf,p=2,q=1)
Run the code above in your browser using DataLab