HRARMA {FitARMA} | R Documentation |
Estimates the parameters in an ARMA(p,q) model.
HRARMA(p, q, x, AROrder = 20)
p |
AR order |
q |
MA order |
x |
time series |
AROrder |
order of approximating AR |
See Hannan & Rissanen (1982). This provides an efficient estimator which may be used as initial parameter values in full MLE estimation algorithms.
vector with p+q parameters, phi(1),...,phi(p),theta(1),...,theta(q)
A.I. McLeod
Hannan, E.J. and Rissanen, J. (1982). Recursive estimation of mixed autoregressive-moving average order. Biometrika 69, 81-94.
data(SeriesA) HRARMA(1,1, SeriesA)