| est.farma.wge {tswge} | R Documentation |
Estimate the parameters of a FARMA model.
Description
This function uses the grid search algorithm discussed in Section 11.5 of Applied Time Series Analysis with R, second edition by Woodward, Gray, and Elliott
Usage
est.farma.wge(x, low.d, high.d, inc.d, p.max, nback = 500)Arguments
x |
Realization to be analyzed |
low.d |
The lower limit for d in the grid search |
high.d |
The upper limit for d in the grid search |
inc.d |
The increment, e.g. .01, .001, etc. in the grid search |
p.max |
Maximum value of p allowed for the AR component of the model |
nback |
Number of backcasts to be used (see section 11.5 in Applied Time Series Analysis with R, second edition by Woodward, Gray, and Elliott |
Details
We assume q=0 and do not allow moving average terms in the model.
Value
d |
Estimate of d |
phi |
Estimates of the pth order AR component of the model where p is some integer from 0 to p.max |
vara |
The estimnated white noise variance |
aic |
The aic value associated with the final model |
Author(s)
Wayne Woodward
References
Applied Time Series Analysis with R, second edition by Woodward, Gray, and Elliott. See also Hosking (1984)
Examples
est.farma.wge(Nile,low.d=.1,high.d=.5,inc.d=.01,p.max=3)