armafit {TSSS} | R Documentation |
Scalar ARMA Model Fitting
Description
Fit a scalar ARMA model by maximum likelihood method.
Usage
armafit(y, ar.order, ar = NULL, ma.order, ma = NULL)
Arguments
y |
a univariate time series. |
ar.order |
AR order. |
ar |
initial AR coefficients. If |
ma.order |
MA order. |
ma |
initial MA coefficients. If |
Value
sigma2 |
innovation variance. |
llkhood |
log-likelihood of the model. |
aic |
AIC of the model. |
arcoef |
AR coefficients. |
macoef |
MA coefficients. |
References
Kitagawa, G. (2020) Introduction to Time Series Modeling with Applications in R. Chapman & Hall/CRC.
Examples
# Sunspot number data
data(Sunspot)
y <- log10(Sunspot)
z <- armafit(y, ar.order = 3, ma.order = 3)
z
armachar(arcoef = z$arcoef, macoef = z$macoef, v = z$sigma2, lag = 20)
[Package TSSS version 1.3.4-5 Index]