HRARMA {FitARMA}R Documentation

Hannan-Rissanen ARMA estimator

Description

Estimates the parameters in an ARMA(p,q) model.

Usage

HRARMA(p, q, x, AROrder = 20)

Arguments

p AR order
q MA order
x time series
AROrder order of approximating AR

Details

See Hannan & Rissanen (1982). This provides an efficient estimator which may be used as initial parameter values in full MLE estimation algorithms.

Value

vector with p+q parameters, phi(1),...,phi(p),theta(1),...,theta(q)

Author(s)

A.I. McLeod

References

Hannan, E.J. and Rissanen, J. (1982). Recursive estimation of mixed autoregressive-moving average order. Biometrika 69, 81-94.

See Also

FitARMA

Examples

data(SeriesA)
HRARMA(1,1, SeriesA)

[Package FitARMA version 1.0 Index]