est.farma.wge

This function uses the grid search algorithm discussed in Section 11.5 of Applied Time Series Analysis with R, second edition by Woodward, Gray, and Elliott

 Estimation 

 FARMA 

Accompanies the texts Time Series for Data Science with R by Woodward, Sadler and Robertson & Applied Time Series Analysis with R, 2nd edition by Woodward, Gray, and Elliott.  It is helpful for data analysis and for time series instruction.

Bivin Sadler

tswge

Time Series for Data Science

est.farma.wge function

<dl> <dt>x</dt>
<dd>Realization to be analyzed</dd> <dt>low.d</dt>
<dd>The lower limit for d in the grid search</dd> <dt>high.d</dt>
<dd>The upper limit for d in the grid search</dd> <dt>inc.d</dt>
<dd>The increment, e.g. .01, .001, etc. in the grid search</dd> <dt>p.max</dt>
<dd>Maximum value of p allowed for the AR component of the model</dd> <dt>nback</dt>
<dd>Number of backcasts to be used (see section 11.5 in Applied Time Series Analysis with R, second edition by Woodward, Gray, and Elliott</dd></dl>

Arguments

Author

Estimate the parameters of a FARMA model. — est.farma.wge

<dl>

 <dt>x</dt>
<dd>Realization to be analyzed</dd>

 <dt>low.d</dt>
<dd>The lower limit for d in the grid search</dd>

 <dt>high.d</dt>
<dd>The upper limit for d in the grid search</dd>

 <dt>inc.d</dt>
<dd>The increment, e.g. .01, .001, etc. in the grid search</dd>

 <dt>p.max</dt>
<dd>Maximum value of p allowed for the AR component of the model</dd>

 <dt>nback</dt>
<dd>Number of backcasts to be used (see section 11.5 in Applied Time Series Analysis with R, second edition by Woodward, Gray, and Elliott</dd>

</dl>

est.farma.wge: Estimate the parameters of a FARMA model.

Description

Usage

Value

Arguments

Author

Details

References

Examples