estimation {weakARMA} | R Documentation |
Parameters estimation of a time series.
Description
Estimates the parameters of a time series for given orders p
and q
Usage
estimation(p = NULL, q = NULL, y, meanparam = FALSE)
Arguments
p |
Order of AR, if |
q |
Order of MA, if |
y |
Univariate time series. |
meanparam |
Logical argument if the mean parameter has to be computed or not. If FALSE |
Details
This function uses the algorithm BFGS in the function optim to minimize our objective function meansq
.
Value
List of estimate coefficients:
mu
Mean parameter
.
ar
Vector of AR coefficients with length is equal to
p
.ma
Vector of MA coefficients with length is equal to
q
.sigma.carre
Mean square residuals.
References
Francq, C. and Zakoïan, J. 1998, Estimating linear representations of nonlinear processes Journal of Statistical Planning and Inference, vol. 68, no. 1, pp. 145-165.
Examples
y<-sim.ARMA(1000,ar = c(0.9,-0.3), ma = 0.2, method = "product")
estimation(p = 2, q = 1, y = y)
estimation(p = 1, q = 1, y = CAC40return.sq, meanparam = TRUE)
[Package weakARMA version 1.0.3 Index]