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Last data update: 2014.03.03

R: Fit ARMA(p,q) model to mean zero time series.

GetFitARMA

R Documentation

Fit ARMA(p,q) model to mean zero time series.

Description

The algorithm of McLeod and Zhang (2007) is used.

Usage

GetFitARMA(y, p, q, pApprox = 30, init = 0)

Arguments

`y`	time series
`p`	AR order
`q`	MA order
`pApprox`	AR approximation
`init`	initial parameter estimates

Details

See McLeod and Zhang (2006).

Value

`loglikelihood`	value of maximized loglikelihood
`phiHat`	estimated phi parameters
`thetaHat`	estimated theta parameters
`convergence`	result from optim
`algorithm`	indicates "L-BFGS-B" or "Nelder-Mead" according as which algorithm was used in optim

Author(s)

A.I. McLeod, aimcleod@uwo.ca

References

A.I. McLeod andY. Zhang (2008), Faster ARMA maximum likelihood estimation, Computational Statistics & Data Analysis, 52-4, 2166-2176. DOI link: http://dx.doi.org/10.1016/j.csda.2007.07.020

Examples

data(SeriesA)
z<-SeriesA-mean(SeriesA)
GetFitARMA(z, 1, 1)
w<-diff(z, differences=1)
GetFitARMA(w, 0, 1)

Results


R version 3.3.1 (2016-06-21) -- "Bug in Your Hair"
Copyright (C) 2016 The R Foundation for Statistical Computing
Platform: x86_64-pc-linux-gnu (64-bit)

R is free software and comes with ABSOLUTELY NO WARRANTY.
You are welcome to redistribute it under certain conditions.
Type 'license()' or 'licence()' for distribution details.

R is a collaborative project with many contributors.
Type 'contributors()' for more information and
'citation()' on how to cite R or R packages in publications.

Type 'demo()' for some demos, 'help()' for on-line help, or
'help.start()' for an HTML browser interface to help.
Type 'q()' to quit R.

> library(FitARMA)
Loading required package: FitAR
Loading required package: lattice
Loading required package: leaps
Loading required package: ltsa
Loading required package: bestglm
> png(filename="/home/ddbj/snapshot/RGM3/R_CC/result/FitARMA/GetFitARMA.Rd_%03d_medium.png", width=480, height=480)
> ### Name: GetFitARMA
> ### Title: Fit ARMA(p,q) model to mean zero time series.
> ### Aliases: GetFitARMA
> ### Keywords: ts
> 
> ### ** Examples
> 
> data(SeriesA)
> z<-SeriesA-mean(SeriesA)
> GetFitARMA(z, 1, 1)
$loglikelihood
[1] 228.7854

$phiHat
[1] 0.9086651

$thetaHat
[1] 0.5758

$convergence
[1] 0

$algorithm
[1] "L-BFGS-B"

> w<-diff(z, differences=1)
> GetFitARMA(w, 0, 1)
$loglikelihood
[1] 224.6033

$phiHat
numeric(0)

$thetaHat
[1] 0.6993876

$convergence
[1] 0

$algorithm
[1] "L-BFGS-B"

> 
> 
> 
> 
> 
> dev.off()
null device 
          1 
>