arma_Q0Gardner {sarima} | R Documentation |
Computing the initial state covariance matrix of ARMA
Description
Wrappers for the internals 'stats' functions used by arima() to compute the initial state covariance matrix of ARMA models.
Usage
arma_Q0naive(phi, theta, tol = .Machine$double.eps)
arma_Q0gnbR(phi, theta, tol = .Machine$double.eps)
Arguments
phi |
autoregressive coefficients. |
theta |
moving average coefficients. |
tol |
tollerance. |
Details
arima()
uses one of two methods to compute the initial state
covariance matrix of a stationary ARMA model. Both methods are
implemented by internal non-exported C functions.
arma_Q0Gardner()
and arma_Q0bis
are simple R wrappers
for those functions. They are defined in the tests (TODO: put
in the examples?) bit are not defined in the namespace of the package
since they use unexported functions.
arma_Q0Gardner()
implements the original method from Gardner et
al (1980). arma_Q0bis()
is a more recent method that deals
better with roots very close to the unit circle.
These functions can be useful for comparative testing. They cannot be
put in package 'sarima' since they use `:::`
operator and are
hence inadmissible to CRAN.
Value
a matrix
References
Gardner G, Harvey AC, Phillips GDA (1980). “Algorithm AS154. An algorithm for exact maximum likelihood estimation of autoregressive-moving average models by means of Kalman filtering.” Applied Statistics, 311–322.
Examples
## arma_Q0Gardner(phi, theta, tol = .Machine$double.eps)
## arma_Q0bis(phi, theta, tol = .Machine$double.eps)