GetFitARz {FitAR}R Documentation

Exact MLE for AR(p) and Subset ARz – Short Version

Description

Obtain the exact MLE for AR(p) or subset ARz model. This function is used by FitAR and FitARz. One might prefer to use GetFitARz for applications such as bootstrapping since it is faster.

Usage

GetFitARz(z, pvec, MeanValue=0, ...)

Arguments

z time series
pvec lags included in AR model. If pvec = 0, white noise model assumed.
MeanValue by default it is assumed the mean of z is 0
... optional arguments passed through to optim

Details

The built-in function optim is used to obtain the MLE estimates for an AR or subset AR. First "BFGS" is tried. This usually works fine. In the rare cases where convergence is not obtained, "Nelder-Mead" is used. A warning message is given if this happens.

Value

loglikelihood value of maximized loglikelihood
zetaHat estimated zeta parameters
phiHat estimated phi parameters
convergence result from optim
pvec lags of estimated AR coefficient
algorithm "BFGS" or "Nelder-Mead"

Author(s)

A.I. McLeod and Y. Zhang

References

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.

See Also

FitAR, FitARz, FitARp, GetFitARpMLE, RacfPlot

Examples

#compare results from GetFitARz and FitAR
z<-log(lynx)
z<-z - mean(z)
GetFitARz(z, c(1,2,8))
out<-FitAR(log(lynx), c(1,2,8), ARModel="ARz")
out
coef(out)

[Package FitAR version 1.74 Index]