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timeSeries – Time series type variance models

Description

timeSeries: Time series type correlation and variance models.

Usage
ar1(obj, init=NA)
ar1v(obj, init=NA)
ar1h(obj, init=NA)
ar2(obj, init=NA)
ar2v(obj, init=NA)
ar2h(obj, init=NA)
ar3(obj, init=NA)
ar3v(obj, init=NA)
ar3h(obj, init=NA)
sar(obj, init=NA)
sarv(obj, init=NA)
sarh(obj, init=NA)
sar2(obj, init=NA)
sar2v(obj, init=NA)
sar2h(obj, init=NA)
ma1(obj, init=NA)
ma1v(obj, init=NA)
ma1h(obj, init=NA)
ma2(obj, init=NA)
ma2v(obj, init=NA)
ma2h(obj, init=NA)
arma(obj, init=NA)
armav(obj, init=NA)
armah(obj, init=NA)
Arguments
obj A factor in data.
init A vector of initial values (correlation parameters followed by variance parameters) with an optional names attribute from the set {P, U, F} specifying the boundary constraint as positive, unconstrained or fixed, respectively.
Details

The class of time series type models includes autoregressive models of order 1, 2 and 3 (ar1, ar2 and ar3), symmetric autoregressive (sar), constrained autoregressive order 3 (sar2), moving average models of order 1 and 2 (ma1, ma2) and the autoregressive-moving average model (arma).

Functions
asr_ar1v: Autoregressive model of order 1; homogeneous variance form.
asr_ar1h: Autoregressive model of order 1; heterogeneous variance form.
asr_ar2: Autoregressive model of order 2.
asr_ar2v: Autoregressive model of order 2; homogeneous variance form.
asr_ar2h: Autoregressive model of order 2; heterogeneous variance form.
asr_ar3: Autoregressive model of order 3.
asr_ar3v: Autoregressive model of order 3; homogeneous variance form.
asr_ar3h: Autoregressive model of order 3; heterogeneous variance form.
asr_sar: Symmetric autoregressive model.
asr_sarv: Symmetric autoregressive model; homogeneous variance form.
asr_sarh: Symmetric autoregressive model; heterogeneous variance form.
asr_sar2: Constrained autoregressive model of order 3.
asr_sar2v: Constrained autoregressive model of order 3; homogeneous variance form.
asr_sar2h: Constrained autoregressive model of order 3; heterogeneous variance form.
asr_ma1: Moving average model of order 1.
asr_ma1v: Moving average model of order 1; homogeneous variance form.
asr_ma1h: Moving average model of order 1; heterogeneous variance form.
asr_ma2: Moving average model of order 2.
asr_ma2v: Moving average model of order 2; homogeneous variance form.
asr_ma2h: Moving average model of order 2; heterogeneous variance form.
asr_arma: Autoregressive-moving average model.
asr_armav: Autoregressive-moving average model; homogeneous variance form.
asr_armah: Autoregressive-moving average model; heterogeneous variance form.
Updated on August 9, 2018

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