armafit2 {TSSS}

Scalar ARMA Model Fitting

Description

Estimate all ARMA models within the user-specified maximum order by maximum likelihood method.

Usage

armafit2(y, ar.order, ma.order)

Arguments

y

a univariate time series.

ar.order

maximum AR order.

ma.order

maximum MA order.

Value

aicmin

minimum AIC.

maice.order

AR and MA orders of minimum AIC model.

sigma2

innovation variance of all models.

llkhood

log-likelihood of all models.

aic

AIC of all models.

coef

AR and MA coefficients of all models.

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)
armafit2(y, ar.order = 5, ma.order = 5)