FitARMA (version 1.6.1)

GetFitARMA: Fit ARMA(p,q) model to mean zero time series.

Description

The algorithm of McLeod and Zhang (2007) is used.

Usage

GetFitARMA(y, p, q, pApprox = 30, init = 0)

Arguments

y

time series

p

AR order

q

MA order

pApprox

AR approximation

init

initial parameter estimates

Value

loglikelihood

value of maximized loglikelihood

phiHat

estimated phi parameters

thetaHat

estimated theta parameters

convergence

result from optim

algorithm

indicates "L-BFGS-B" or "Nelder-Mead" according as which algorithm was used in optim

Details

See McLeod and Zhang (2006).

References

A.I. McLeod andY. Zhang (2008), Faster ARMA maximum likelihood estimation, Computational Statistics & Data Analysis, 52-4, 2166-2176. DOI link: http://dx.doi.org/10.1016/j.csda.2007.07.020

See Also

arima, FitARMA

Examples

# NOT RUN {
data(SeriesA)
z<-SeriesA-mean(SeriesA)
GetFitARMA(z, 1, 1)
w<-diff(z, differences=1)
GetFitARMA(w, 0, 1)
# }