GetFitARMAMean {FitARMA} | R Documentation |
GetFitARMAMean(z, p, q, pApprox = 30, init = 0)
z |
time series |
p |
AR order |
q |
MA order |
pApprox |
AR order for the approximation |
init |
initial phi(1),...,phi(p),theta(1),...,theta(q) |
MLE estimation
loglikelihood |
value of maximized loglikelihood |
phiHat |
estimated phi parameters |
thetaHat |
estimated theta parameters |
convergence |
result from optim if used. Otherwise 0. |
algorithm |
"L-BFGS-B" or "Nelder-Mead" or "optimize" or "cubic" |
A.I. McLeod, aimcleod@uwo.ca
McLeod, A.I. and Zhang, Y. (2007, tentatively accepted). Faster ARMA Maximum Likelihood Estimation. Computational Statistics and Data Analysis.
data(SeriesA) GetFitARMA(SeriesA, 1, 1)