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SARIMA

Create a Seasonal Autoregressive Integrated Moving Average (SARIMA) Process

Description

Sets up the necessary backend for the SARIMA process.

Usage

SARIMA(ar = 1, i = 0, ma = 1, sar = 1, si = 0, sma = 1,
  s = 12, sigma2 = 1)

Arguments

ar

A vector or integer containing either the coefficients for phi's or the process number p for the Autoregressive (AR) term.
i

An integer containing the number of differences to be done.
ma

A vector or integer containing either the coefficients for theta's or the process number q for the Moving Average (MA) term.
sar

A vector or integer containing either the coefficients for PHI's or the process number P for the Seasonal Autoregressive (SAR) term.
si

An integer containing the number of seasonal differences to be done.
sma

A vector or integer containing either the coefficients for THETA's or the process number Q for the Seasonal Moving Average (SMA) term.
s

An integer containing the seasonality.
sigma2

A double value for the standard deviation, sigma, of the SARMA process.

Details

A variance is required since the model generation statements utilize randomization functions expecting a variance instead of a standard deviation unlike R.

Value

An S3 object with called ts.model with the following structure:

process.desc

AR x p, MA x q, SAR x P, SMA x Q

theta

sigma

plength

Number of parameters

desc

Type of model

desc.simple

Type of model (after simplification)

print

String containing simplified model

obj.desc

y desc replicated x times

obj

Depth of Parameters e.g. list(c(length(ar), length(ma), length(sar), length(sma), 1, i, si) )

starting

Guess Starting values? TRUE or FALSE (e.g. specified value)

Author(s)

James Balamuta

Examples

# Create an SARIMA(1,1,2)x(1,0,1) process
SARIMA(ar = 1, i = 1, ma = 2, sar = 1, si = 0, sma =1)

# Creates an SARMA(1,0,1)x(1,1,1) process with predefined coefficients.
SARIMA(ar=0.23, i = 0, ma=0.4, sar = .3,  sma = .3)
simts

Time Series Analysis Tools

v0.1.1
AGPL-3 | file LICENSE
Authors
Stéphane Guerrier [aut, cre, cph], James Balamuta [aut, cph], Roberto Molinari [aut, cph], Justin Lee [aut], Yuming Zhang [aut], Wenchao Yang [ctb], Nathanael Claussen [ctb], Yunxiang Zhang [ctb], Christian Gunning [cph], Romain Francois [cph], Ross Ihaka [cph], R Core Team [cph]
Initial release
2019-07-21

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