specify

Provides functions for modeling and forecasting time series data. Forecasting is based on the innovations algorithm. A description of the innovations algorithm can be found in the textbook "Introduction to Time Series and Forecasting" by Peter J. Brockwell and Richard A. Davis. <https://link.springer.com/book/10.1007/b97391>.

George Weigt

itsmr

Time Series Analysis Using the Innovations Algorithm

specify function

<dl><dt>ar</dt>
<dd>Vector of AR coefficients (index number equals coefficient subscript)</dd><dt>ma</dt>
<dd>Vector of MA coefficients (index number equals coefficient subscript)</dd><dt>sigma2</dt>
<dd>White noise variance</dd></dl>

Arguments

Specify an ARMA model — specify

<dl>

<dt>ar</dt>
<dd>Vector of AR coefficients (index number equals coefficient subscript)</dd>

<dt>ma</dt>
<dd>Vector of MA coefficients (index number equals coefficient subscript)</dd>

<dt>sigma2</dt>
<dd>White noise variance</dd>

</dl>

specify: Specify an ARMA model

Description

Usage

Value

Arguments

Examples