itsmr (version 1.9)

ia: Estimate MA coefficients using the innovations algorithm

Description

Estimate MA coefficients using the innovations algorithm

Usage

ia(x, q, m = 17)

Value

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

phi

0

theta

Vector of MA coefficients (index number equals coefficient subscript)

sigma2

White noise variance

aicc

Akaike information criterion corrected

se.phi

0

se.theta

Standard errors for the MA coefficients

Arguments

x

Time series data (typically residuals from Resid)

q

MA order

m

Recursion level

Details

Normally m should be set to the default value. The innovations algorithm is used to estimate white noise variance.

See Also

arma burg hannan yw

Examples

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