cents (version 0.1-41)

cenarma: Censored arma estimation

Description

A quasi-EM algorithm is implemented. The R function arima() is used in the maximization step. The Durbin-Levinson recursions are used to compute conditional expectations.

Usage

cenarma(y, iy, p=0, q=0, include.mean = TRUE, verbose = FALSE,  MaxIter = 100, ETOL = 1e-05, algorithm = c("exact", "approx"), ...)

Arguments

y

time series as a vector of length n

iy

indicator with entries: "o","L","R","na". If missing, it is assumed there is no censoring and iy entries are set to "o" or "na" according to whether the corresponding value in y is numeric or NA.

p

ar order

q

ma order

include.mean

Default is to estimate the mean. FALSE means we assume the mean is zero.

verbose

If true, show successive log-likelihoods

MaxIter

maximum number of iterations

ETOL

error tolerance

algorithm

"exact" uses our tacvfARMA() and approximate uses acfARMA()

...

options passed to arima

Value

fitted model out is a list:

Arima

the output for the function arima()

v0

covariance matrix of the parameters

dataSummary

number of data values in each class

exitStatus

"converged" or "Maxit iterations reached"

Examples

#Default example
#Example. Left-censoring, 10%
## Not run: 
# set.seed(313177)
# n <- 500
# out <- rcarma(n, ar=0.8, ma=-0.6, mu=100, siga=15, rates=c(0.1, NA))
# y <- out$y
# iy <- out$iy
# ans <- cenarma(y, iy, p=1, q=1)
# ans[[1]]
# #
# #Example ARMA(1,1) with missing values.
# #Fit using arima() and cenarma()
# #compare final relative likelihood and difference log-likelihoods
# set.seed(313177)
# n <- 500
# out <- rcarma(n, ar=0.8, ma=-0.6, mu=100, siga=15, rates=c(NA, NA), Mrate=0.25)
# y <- out$y
# iy <- out$iy
# (ans0 <- arima(y, order=c(1,0,1)))
# (ans1 <- cenarma(y, iy, p=1, q=1))[[1]]
# logL0 <- ans0$loglik
# betaHat <- coef(ans1[[1]])
# arHat <- betaHat[1]
# maHat <- betaHat[2]
# muHat <- betaHat[3]
# ans1B <- arima(y, order=c(1,0,1), fixed=c(arHat,maHat,muHat),transform.pars=FALSE)
# logL1 <- ans1B$loglik
# RL <- exp(logL1-logL0)
# RL
# logL1-logL0
# ## End(Not run)