parma_ident {perARMA} | R Documentation |
Identification of PC-T structure
Description
Procedure parma_ident
utilizes a collection of procedures
(functions) that together provide
identification of PC structure in the series and saves results in the 'ident.txt'
file, which is
located in the working directory.
This procedure could be applied to the original time series x
or to the residuals of fitted PARMA models
to characterize the goodness of fit.
Usage
parma_ident(x, T_t, missval, datastr, ...)
Arguments
x |
input time series. |
T_t |
period of PC-T structure. |
missval |
notation for missing values. |
datastr |
string name of data for printing. |
... |
other arguments: |
Details
Procedure parma_ident
provides a universal method for analyzing series
or residuals. It calls following procedures:
permest
, persigest
, peracf
, Bcoeff
, Bcoeffa
, perpacf
,
ppfcoeffab
, ppfplot
, acfpacf
.
Value
procedure returns list of values:
pmean |
periodic mean values, |
xd |
series after removing periodic mean, |
pstd |
periodic standard deviations values, |
xn |
series obtained after removing periodic mean and divided by periodic standard deviations, |
as well as a text file 'ident.txt'
containing all the textual output generated
in the running of parma_ident
.
Author(s)
Harry Hurd
References
Hurd, H. L., Miamee, A. G., (2007), Periodically Correlated Random Sequences: Spectral Theory and Practice, Wiley InterScience.
Examples
############### PC-T series simulation
T=12
nlen=480
descriptor='PARMA(2,1) periodic phis all del =1'
p=2
a=matrix(0,T,p)
q=1
b=matrix(0,T,q)
a[1,1]=.8
a[2,1]=.3
a[1,2]=-.9
phia<-ab2phth(a)
phi0=phia$phi
phi0=as.matrix(phi0)
b[1,1]=-.7
b[2,1]=-.6
thetab<-ab2phth(b)
theta0=thetab$phi
theta0=as.matrix(theta0)
del0=matrix(1,T,1)
makeparma_out<-makeparma(nlen,phi0,theta0,del0)
y=makeparma_out$y
############### parma_ident use
parma_ident(t(y),T,NaN,descriptor,outdir=tempdir())