hannan {itsmr}

Estimate ARMA coefficients using the Hannan-Rissanen algorithm

Description

Estimate ARMA coefficients using the Hannan-Rissanen algorithm

Usage

hannan(x, p, q)

Arguments

x

Time series data (typically residuals from Resid)

p

AR order

q

MA order (q > 0)

Details

The innovations algorithm is used to estimate white noise variance.

Value

Returns an ARMA model consisting of a list with the following components.

phi

Vector of AR coefficients (index number equals coefficient subscript)

theta

Vector of MA coefficients (index number equals coefficient subscript)

sigma2

White noise variance

aicc

Akaike information criterion corrected

se.phi

Standard errors for the AR coefficients

se.theta

Standard errors for the MA coefficients

See Also

arma burg ia yw

Examples

M = c("diff",12)
e = Resid(deaths,M)
a = hannan(e,1,1)
print(a)