ARIMA Model

ARIMA Model

Usage

arima_model(name = "arima", ar = 1, delta = 1, ma = 1, variance = 1)

Arguments

name

Name of the model.

ar

coefficients of the regular auto-regressive polynomial (1 + ar(1)B + ar(2)B + ...). True signs.

delta

non stationary auto-regressive polynomial.

ma

coefficients of the regular moving average polynomial (1 + ma(1)B + ma(2)B + ...). True signs.

variance

variance.

Value

a "JD3_ARIMA" model.

Examples

model <- arima_model("trend", ar = c(1, -.8), delta = c(1, -1), ma = c(1, -.5), var = 100)