fit.mar1s {mar1s} | R Documentation |
Fits Multiplicative AR(1) with Seasonal process model to time series.
fit.mar1s(x, xreg = NULL, seasonal.fun = seasonal.smooth, ...)
x |
A univariate time series. |
xreg |
A univariate or multivariate time series of external regressors, or
NULL .
|
seasonal.fun |
A function which takes a univariate time series as its first argument and returns the estimated seasonal component. |
... |
Additional arguments passed to seasonal.fun .
|
An object of class "mar1s"
with the following components:
logseasonal |
Estimated log-seasonal figure (a univariate or multivariate time series object). |
logstoch.ar1 |
AR(1) with external regressors model fitted for the log-stochastic
component (an object of class "Arima" ).
|
logresid.sd |
Standard deviation of the residuals. |
decomposed |
An object of class "mar1s.ts" containing decomposed time
series (see compose.mar1s ).
|
compose.mar1s
for MAR(1)S process formal definition and
composition/decomposition functions, seasonal.ave
,
seasonal.smooth
for seasonal component extraction
functions, sim.mar1s
for MAR(1)S process simulation and
prediction.
data(forest.fire, package = "mar1s") data(nesterov.index, package = "mar1s") ## Simple mar1s <- fit.mar1s(forest.fire) plot(mar1s$logseasonal) confint(mar1s$logstoch.ar1) mar1s$logresid.sd resid <- nan2na(mar1s$decomposed$logresid) qqnorm(resid) qqline(resid) ## External regressors mar1s <- fit.mar1s(forest.fire, nesterov.index[, "mean"]) plot(cbind(mar1s$logseasonal, mar1s$logseasonal.r)) confint(mar1s$logstoch.ar1) resid <- nan2na(mar1s$decomposed$logresid) qqnorm(resid) qqline(resid)