arfima (version 1.8-1)

SeriesJ: Series J, Gas Furnace Data

Description

Gas furnace data, sampling interval 9 seconds; observations for 296 pairs of data points.

Format

List with ts objects XJ and YJ.

Details

XJ is input gas rate in cubic feet per minute, YJ is percentage carbon dioxide (CO2) in outlet gas. X is the regressor.

Box, Jenkins, and Reinsel (2008) fit an AR(2) to YJ, with transfer function specifications r = 2, s = 2, and b = 3, regressing on XJ. Our package agrees with their results.

References

Box, G. E. P., Jenkins, G. M., and Reinsel, G. C. (2008) Time Series Analysis: Forecasting and Control. 4th Edition. John Wiley and Sons, Inc., New Jersey.

Veenstra, J. and McLeod, A. I. (Working Paper). The arfima R package: Exact Methods for Hyperbolic Decay Time Series

Examples

# \donttest{
data(SeriesJ)
attach(SeriesJ)

fitTF <- arfima(YJ, order= c(2, 0, 0), xreg = XJ, reglist =
list(regpar = c(2, 2, 3)), lmodel = "n")
fitTF ## agrees fairly closely with Box et. al.


detach(SeriesJ)
# }