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FitAR (version 1.94)

Subset AR Model Fitting

Description

Comprehensive model building function for identification, estimation and diagnostic checking for AR and subset AR models. Two types of subset AR models are supported. One family of subset AR models, denoted by ARp, is formed by taking subet of the original AR coefficients and in the other, denoted by ARz, subsets of the partial autocorrelations are used. The main advantage of the ARz model is its applicability to very large order models.

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Version

Install

install.packages('FitAR')

Monthly Downloads

220

Version

1.94

License

GPL (>= 2)

Maintainer

Last Published

March 16th, 2013

Functions in FitAR (1.94)

Plot Ljung-Box Test P-value vs Lag

BackcastResidualsAR

Innovation Residuals in AR

Input a Time Series

Generic Box-Cox Analysis Function

U.S. Tobacco Production, 1871-1984

Reparametrize AR Coefficients In Terms of PACF

Simulate a Fitted AR

Box-Cox Analysis for "FitAR" Objects

InformationMatrixAR

Information Matrix for AR(p)

Commodity prices

InformationMatrixARp

Fisher Information Matrix Subset Case, ARp

Fits AR and subset AR models and provides complete model building capabilities. FitAR

Select best model using BICq

Box-Cox Transformation and its Inverse

Exact MLE for subset ARp Models

Foreign exchange rates

Ljung-Box Test for Randomness

Autoregressive Spectral Density Estimation for "FitAR"

Autoregressive Spectral Density Function

Residual Autocorrelation Plot

Plot AR or ARMA Spectral Density

Select Best AR, ARz or ARp Model

Parametric Time Series Bootstrap

Fitted Values from "FitAR" Object

Exact MLE for Mean in AR(p)

SimulateGaussianAR

Autoregression Simulation

Exact MLE Mean-Zero AR(1)

Willamette Riverflow Time Series

Box-Cox Analysis for "Arima" Objects

Theoretical Autocovariance Function of AR

Champernowne Matrix

LS for AR(p) and Subset ARp -- Short Version

Caffeine industrial time series

Box-Cox Analysis for a Time Series

Series A, Chemical Process Concentration Readings

Theoretical Autocovariances for Moving Average Process

Transform from PACF Parameters to AR Coefficients

Box-Cox Analysis for a Time Series

Coefficients In Infinite Moving Average Expansion

Jacobian AR-coefficients to Partial Autocorrelations

Jarque-Bera Normality Test

Fit AR, ARp and ARz

LoglikelihoodAR

Exact Loglikelihood for AR

Normalized rho unit root test statistic

Partial Autocorrelations via Durbin-Levinson

Plot Partial Autocorrelations and Limits

Test if Invertible or Stationary-casual

Covariance Determinant of AR(p)

Fit subset ARp Models

VarianceRacfARz

Covariance Matrix Residual Autocorrelations for ARz

FromSymmetricStorageUpper

Converts a Matrix from Symmetric Storage Mode to Regular Format

MLE for AR, ARp and ARz

Autoregressive Spectral Density Estimation for "ar"

IBM Stock Prices, 2nd series

InformationMatrixARz

Fisher Information Matrix Subset Case, ARz

Summary Method for "FitAR" Object

Autoregressive Spectral Density Estimation

FastLoglikelihoodAR

Fast Computation of the Loglikelihood Function in AR

Basic ACF Plotting

t-statistic for unit root test

Exact MLE for AR(p) and Subset ARz -- Short Version

Plot Method for "FitAR" Object

Concantenate Time Series

Internal Utility Function

Covariance Matrix Residual Autocorrelations for AR

Predict Subset AR Model

Internal Utility Function

Multi-Panel or Single-Panel Time Series Plot with Aspect-Ratio Control

VarianceRacfARp

Covariance Matrix Residual Autocorrelations for ARp

Douglas Fir Treerings, Nine Mile Canyon, Utah, 1194-1964

residuals.FitAR

Extract Residuals from "FitAR" Object

Covariance Matrix of MLE Parameters in an AR(p)

Binary representation of non-negative integer

plot.Selectmodel

Subset AR Graph for "Selectmodel" Object

Spectral Density of Fitted ARIMA Model

Print Method for "FitAR" Object

sdfplot.numeric

Autoregressive Spectral Density Estimation for "numeric"

Subset ARz Model Fitting

Select lags for Best Subset ARp Model

Display Estimated Parameters from Output of "FitAR"

glog transformation

Internal Utility Function

Generic Bootstrap Function

Internal Utility Function: BLUE Mean

Autoregressive Spectral Density Estimation for "ts" Object