itsmr (version 1.9)

arma: Estimate ARMA model coefficients using maximum likelihood

Description

Estimate ARMA model coefficients using maximum likelihood

Usage

arma(x, p = 0, q = 0)

Value

Returns an ARMA model consisting of a list with the following components.

phi

Vector of AR coefficients (index number equals coefficient subscript)

theta

Vector of MA coefficients (index number equals coefficient subscript)

sigma2

White noise variance

aicc

Akaike information criterion corrected

se.phi

Standard errors for the AR coefficients

se.theta

Standard errors for the MA coefficients

Arguments

x

Time series data

p

AR order

q

MA order

Details

Calls the standard R function arima to estimate AR and MA coefficients. The innovations algorithm is used to estimate white noise variance.

See Also

autofit burg hannan ia yw

Examples

M = c("diff",1)
e = Resid(dowj,M)
a = arma(e,1,0)
print(a)