GetFitARMAMean {FitARMA}R Documentation

MLE for ARMA parameters and mean

Description

Usage

GetFitARMAMean(z, p, q, pApprox = 30, init = 0)

Arguments

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)

Details

MLE estimation

Value

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"

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

arima, FitARMA, GetFitARMA

Examples

data(SeriesA)
GetFitARMA(SeriesA, 1, 1)
  

[Package FitARMA version 1.0 Index]