armafit {TSSS} | R Documentation |
Fit a scalar ARMA model by maximum likelihood method.
armafit(y, ar.order, ar = NULL, ma.order, ma = NULL)
y |
a univariate time series. |
ar.order |
AR order. |
ar |
initial AR coefficients. If |
ma.order |
MA order. |
ma |
initial MA coefficients. If |
sigma2 |
innovation variance. |
llkhood |
log-likelihood of the model. |
aic |
AIC of the model. |
arcoef |
AR coefficients. |
macoef |
MA coefficients. |
Kitagawa, G. (2010) Introduction to Time Series Modeling. Chapman & Hall/CRC.
# Sun spot number data data(Sunspot) y <- log10(Sunspot) z1 <- armafit(y, ar.order = 3, ma.order = 3) z1 nd <- length(y) armaimp(arcoef = z1$arcoef, macoef = z1$macoef, v = z1$sigma2, n = nd, lag = 20)