tccfAR
(Package: FitARMA) :
Theoretical cross-covariances of auxilary AR process in ARMA(p,q)
The auxilary AR processes in the ARMA(p,q) model phi(B)z(t)=theta(B)a(t) are defined by phi(B)u(t)=-a(t) and theta(B)v(t)=a(t). The upper off-diagonal p-by-q block of the ARMA information matrix is obtained from the cross-covariances of u(t) and v(t). This function obtains these covariances.
● Data Source:
CranContrib
● Keywords: ts
● Alias: tccfAR
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coef.FitARMA
(Package: FitARMA) :
coef method for class FitARMA
produces table showing parameters, standard errors and Z-ratios
● Data Source:
CranContrib
● Keywords: ts
● Alias: coef.FitARMA
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TacvfARMA
(Package: FitARMA) :
Theoretical Autocovariance Function of ARMA
The theoretical autocovariance function of an ARMA(p,q) with unit variance is computed. This algorithm has many applications. In this package it is used for the computation of the information matrix, in simulating p initial starting values for AR simulations and in the computation of the exact mle for the mean.
● Data Source:
CranContrib
● Keywords: ts
● Alias: TacvfARMA
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FitARMA-package
(Package: FitARMA) :
FitARMA: Fit ARMA or ARIMA using fast MLE algorithm
Fit ARMA/ARIMA time series model using fast algorithm. All MLE computations in R. Two estimation functions: 'FitARMA' and 'GetFitARMA' are provided. 'FitARMA' provides more options including an option for exact MLE estimation of the intercept term. 'GetFitARMA' is provided for bootstrapping and simulation experiments. S3 Methods 'print', 'summary', 'coef', 'residuals', 'fitted' provided. Fast exact Gaussian ARMA simultation using C.
● Data Source:
CranContrib
● Keywords: package, ts
● Alias: FitARMA-package
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InformationMatrixARMA
(Package: FitARMA) :
Expected large-sample information matrix for ARMA
The expected large-sample information matrix per observation for ARMA(p,q) models is computed.
● Data Source:
CranContrib
● Keywords: ts
● Alias: InformationMatrixARMA
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GetFitARMA
(Package: FitARMA) :
Fit ARMA(p,q) model to mean zero time series.
The algorithm of McLeod and Zhang (2007) is used.
● Data Source:
CranContrib
● Keywords: ts
● Alias: GetFitARMA
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An exact simulation method is used to simulate Gaussian ARMA models.
● Data Source:
CranContrib
● Keywords: ts
● Alias: SimulateGaussianARMA
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residuals.FitARMA
(Package: FitARMA) :
residuals method for class FitARMA
The innovation residuals are obtained.
● Data Source:
CranContrib
● Keywords: ts
● Alias: residuals.FitARMA
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print.FitARMA
(Package: FitARMA) :
print method for class FitARMA
a brief summary is printed out of the fitted model
● Data Source:
CranContrib
● Keywords: ts
● Alias: print.FitARMA
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summary.FitARMA
(Package: FitARMA) :
print method for class FitARMA
a summary is printed out of the fitted model
● Data Source:
CranContrib
● Keywords: ts
● Alias: summary.FitARMA
●
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providing 
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