FitARMA {FitARMA}R Documentation

Fit ARMA/ARIMA using fast MLE algorithm

Description

Fits an ARIMA(p,d,q) model using the algorithm given in McLeod and Zhang (2007).

Usage

FitARMA(z, order = c(0, 0, 0), demean = TRUE, MeanMLEQ = FALSE, pApprox = 30, MaxLag = 30)

Arguments

z time series
order model order, c(p,d,q)
demean if TRUE, mean parameter included otherwise assumed zero
MeanMLEQ exact MLE for mean, ignorned unless demean=TRUE
pApprox order of approximation to be used
MaxLag maximum number of lags for portmanteau test

Details

See McLeod and Ying (2007).

Value

A list with class name "FitARMA" and components:

loglikelihood value of the loglikelihood
phiHat AR coefficients
thetaHat MA coefficients
sigsqHat innovation variance estimate
muHat estimate of the mean
covHat covariance matrix of the coefficient estimates
racf residual autocorrelations
LjungBox table of Ljung-Box portmanteau test statistics
res innovation residuals, same length as z
fits fitted values, same length as z
demean TRUE if mean estimated otherwise assumed zero
IterationCount number of iterations in mean mle estimation
convergence value returned by optim – should be 0
MLEMeanQ TRUE if mle for mean algorithm used
tsp tsp(z)
call result from match.call() showing how the function was called
ModelTitle description of model
DataTitle returns attr(z,"title")

Note

When d>0 and demean=TRUE, the mean of the differenced series is estimated. This corresponds to including a polynomial of degree d.

When d>0, the AIC/BIC are computed for the differenced series and so they are not comparable to the values obtained for models with d=0.

Author(s)

A.I. McLeod, aimcleod@uwo.ca

References

McLeod, A.I. and Zhang, Y. (2007, tentatively accepted). Faster ARMA Maximum Likelihood Estimation. Computational Statistics and Data Analysis.

See Also

GetFitARMA, print.FitARMA, coef.FitARMA, residuals.FitARMA, fitted.FitARMA, arima

Examples

data(SeriesA)
out1<-FitARMA(SeriesA, c(1,0,1))
out1
coef(out1)
out2<-FitARMA(SeriesA, c(0,1,1))
out2
coef(out2)

[Package FitARMA version 1.0 Index]