GetFitAR {FitAR} | R Documentation |
Obtains the exact MLE for AR(p) or subset AR models ARp or ARz. This function is used by FitAR. One might prefer to use GetFitAR for applications such as bootstrapping since it is faster than FitAR.
GetFitAR(z, p, ARModel = "ARz", ...)
z |
time series |
p |
model order or subset lags |
ARModel |
either "ARp" or "ARz" corresponding to GetFitARp or GetFitARz |
... |
optional arguments which are passed to GetFitARp or GetFitARz |
This is just a shell which simply invokes either
GetFitARp
or GetFitARz
loglikelihood |
value of maximized loglikelihood |
zetaHat |
estimated zeta parameters |
phiHat |
estimated phi parameters |
convergence |
result from optim |
A.I. McLeod
McLeod, A.I. and Zhang, Y. (2006). Partial autocorrelation parameterization for subset autoregression. Journal of Time Series Analysis, 27, 599-612.
McLeod, A.I. and Zhang, Y. (2008a). Faster ARMA Maximum Likelihood Estimation, Computational Statistics and Data Analysis 52-4, 2166-2176. DOI link: http://dx.doi.org/10.1016/j.csda.2007.07.020.
McLeod, A.I. and Zhang, Y. (2008b, Submitted). Improved Subset Autoregression: With R Package. Journal of Statistical Software.
#compare results from GetFitAR and FitAR z<-log(lynx) z<-z - mean(z) GetFitAR(z, c(1,2,8)) out<-FitAR(log(lynx), c(1,2,8)) out coef(out)