Fit a Time Series Model to Data
This function can fit a time series model to data using different methods.
estimate(model, Xt, method = "mle", demean = TRUE)
model |
A time series model. |
Xt |
A |
method |
A |
demean |
A |
Stéphane Guerrier and Yuming Zhang
Xt = gen_gts(300, AR(phi = c(0, 0, 0.8), sigma2 = 1)) plot(Xt) estimate(AR(3), Xt) Xt = gen_gts(300, MA(theta = 0.5, sigma2 = 1)) plot(Xt) estimate(MA(1), Xt, method = "gmwm") Xt = gen_gts(300, ARMA(ar = c(0.8, -0.5), ma = 0.5, sigma2 = 1)) plot(Xt) estimate(ARMA(2,1), Xt, method = "rgmwm") Xt = gen_gts(300, ARIMA(ar = c(0.8, -0.5), i = 1, ma = 0.5, sigma2 = 1)) plot(Xt) estimate(ARIMA(2,1,1), Xt, method = "mle") Xt = gen_gts(1000, SARIMA(ar = c(0.5, -0.25), i = 0, ma = 0.5, sar = -0.8, si = 1, sma = 0.25, s = 24, sigma2 = 1)) plot(Xt) estimate(SARIMA(ar = 2, i = 0, ma = 1, sar = 1, si = 1, sma = 1, s = 24), Xt, method = "rgmwm")
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