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 June 22, 2021

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