l.ARMA {dse}R Documentation

Evaluate an ARMA TSmodel


Evaluate an ARMA TSmodel.


    ## S3 method for class 'ARMA'
l(obj1, obj2, sampleT=NULL, predictT=NULL,result=NULL,
       error.weights=0,  compiled=.DSEflags()$COMPILED, warn=TRUE, 
       return.debug.info=FALSE, ...)



an 'ARMA' 'TSmodel' object.


a TSdata object.


an integer indicating the number of periods of data to use.


an integer to what period forecasts should be extrapolated.


if non-NULL then the returned value is only the sub-element indicated by result. result can be a character string or integer.


a vector of weights to be applied to the squared prediction errors.


indicates if a call should be made to the compiled code for computation. A FALSE value is mainly for testing purposes.


if FALSE then certain warning messages are turned off.


logical indicating if additional debugging information should be returned.


(further arguments, currently disregarded).


This function is called by the function l() when the argument to l is an ARMA model (see ARMA). Using l() is usually preferable to calling l.ARMA directly. l.ARMA calls a compiled program unless compiled=FALSE. The compiled version is much faster.

sampleT is the length of data which should be used to calculate the one-step ahead predictions, and likelihood value for the model: Output data must be at least as long as sampleT. If sampleT is not supplied it is taken to be Tobs(data).

Input data must be at least as long as predictT. predictT must be at least as large as sampleT. If predictT is not supplied it is taken to be sampleT.

If error.weights is greater than zero then weighted prediction errors are calculated up to the horizon indicated by the length of error.weights. The weights are applied to the squared error at each period ahead.


An object of class TSestModel (see TSestModel) containing the calculated likelihood, prediction, etc. for ARMA model.

See Also

ARMA l, l.SS TSmodel TSestModel.object


    data("eg1.DSE.data.diff", package="dse")
    model <- TSmodel(estVARXls(eg1.DSE.data.diff))
    evaluated.model <- l(model,eg1.DSE.data.diff)

[Package dse version 2020.2-1 Index]