iarima {StMoMo}

Fit independent arima series to a multivariate time series

Description

Fits independent arima series to x, a multivariate time series.

Usage

iarima(x, order = NULL, include.constant = TRUE, ...)

Arguments

x

numeric matrix with a multivariate time series. Series are arranged in rows with columns representing time.

order

an optional matrix with one row per time series specifying the ARIMA models: for the ith row the three components (p, d, q) are the AR order, the degree of differencing, and the MA order. If absent the arima models are fitted using auto.arima.

include.constant

an optional vector of logical values indicating if the ARIMA model for the ith series should include a constant value. The default is TRUE. This parameter is ignored if order is NULL.

...

additional parameters for auto.arima

Details

The fitting of the ARIMA models for each time series is done with function Arima from package forecast. See the latter function for further details on input arguments kt.order and kt.include.constant.

Value

an object of class "iarima" with components:

models

a list with the arima models fitted to each time series.

x

the original time series.